I use a mix too. It really depends on the program. I prefer image banners over i-frames so I can alt and title tag the image and i-frame or flash won't allow the attributes. The other advantage of self hosting is if the source (aff program) goes down it can slow or even prevent your page from loading fully.
As far a the nofollow attribute, I don't think you are giving away anything on the image code. But I might be wrong. On the url path, I always use nofollow even with the url pointing to my php file.
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"People who are unable to motivate themselves must be content with mediocrity." ~Andrew Carnegie~