Gmail has been doing this since December, 2013.
From the official Gmail blog
Have you ever wondered why Gmail asks you before showing images in emails? We did this to protect you from unknown senders who might try to use images to compromise the security of your computer or mobile device.
But thanks to new improvements in how Gmail handles images, you’ll soon see all images displayed in your messages automatically across desktop, iOS and Android. Instead of serving images directly from their original external host servers, Gmail will now serve all images through Google’s own secure proxy servers.
So what does this mean for you? Simple: your messages are more safe and secure, your images are checked for known viruses or malware, and you’ll never have to press that pesky “display images below” link again. With this new change, your email will now be safer, faster and more beautiful than ever.
As mentioned by w3d this does mean that the original host of the image will know when Google retrieves the image to cache it, but that doesn't necessarily mean that it's been seen by a human, so the whole idea of web bugs is now quite unreliable.
For an added measure of protection, you can put your Gmail settings back so that images aren't shown until you expressly download them. (They'll still be from Google's cache, though.) That's "Ask before displaying external images" under the General tab in Settings.