Progressive jpeg is a fairly new format for images, and has distinct advantages over "normal" jpeg and gif image formats. These are:
a much more compact filesize;
faster loading;
the ability to give a better quality image before the image has fully loaded (this enables the user to see what the image is like without waiting for it to load entirely, thus he/she can decide if they want to wait). Unfortunately though, this ability is now wasted with the newer browsers (eg Netscape 4.x, MSIE 3.x) as they do not display images until completely loaded - a great pity which is why I am still using Netscape 3.05.
gif - 44k
jpeg - 57k
progressive jpeg - 19k
The major browsers now available (e.g. Netscape Navigator and Microsoft Internet Explorer) support this format, as do the newer graphics packages, such as Paint Shop Pro and Photoshop 4.