There are a few reasons to have your files come from an external source:
1) You can only cue two requests (or have one open and one cued, I can't remember which) PER DOMAIN when requesting new pages off the net. So if you have items coming from your own domain, and items coming from other domains, it can actually speed up your downloading process (assuming that both domains serve the files at the same rate)
2) Cookies are sent with all http requests to the domain the cookie belongs to, so if you keep any static elements on a separate domain (one that the cookie doesn't belong to), the cookies won't be sent with the request, which means less data being sent, which means faster loading time.
But even with these two points in mind, I don't think that hosting all your images on imageshack would be a great idea, nor would it be fast.