They show if (1) that person you are texting/iMessaging with is in your Contacts and (2) you have a picture loaded in your Contacts for that person. It's not them sending you the picture, its your iPad dipping into your Contacts app to show you the picture you already have.
So, if you put a picture of you in your Contacts app (and link it to the e-mail you are using for iMessage), that picture will show up as you in iMessage. The same for anyone else you talk with...