It was driving me nuts, so I found a solution!

I am really anal about having pictures for all of my contacts, including myself. I can't stand seeing that empty gray box (it is an OCD thing... all of my contacts have to have a picture and all of my music has to have album art or I freak out).

In stock 2.1, when you linked your account to facebook, you had your own contact card. This does not happen with 2.2. So whenever I used the stock sms, there was never a picture for my own messages.

I went on my Google account (on my pc... I'm not sure if you can do it through the browser on the phone) and messed with my settings and added a picture... and it worked! I just went to send a message and my picture showed up!

I feel my phone is complete now...

You can do this with contacts that do not have a Facebook as well. I have a picture for things like Verizon, Comcast, restaurants, Walmart, even local radio stations. Like i said, I'm anal about that... Just thought I would share, because I asked about it before and no one seemed to know the answer or maybe no one is insane like I am...

That was the first thing i did when I got my phone. It came out of the box, i set it up, then after adding my contacts I spent a day adding pictures... that was gefore I realized i could link to Facebook... 

Thanks for sharing, hopefully it will help others looking for the same solution.