WordPress supports a featured known as the “Featured Image” (formerly called a post “thumbnail.”) This is an image that is supposed to represent the post in an overall sort of way, and can be displayed automatically alongside the summary of the post (when it’s listed as part of a group of posts), sent along in the RSS feed with the post, and otherwise stand in for the post.
How and where a featured post appears is up to the specifics of each theme.
To add a featured image, open a post for editing. Look in the right-hand column, toward the bottom, for a small and simple box labeled “Featured Image,” with a link to “set featured image.” When you click that link, you come to the regular Add Media screen, where you can add a new file or choose an image from your existing Media Library. When you’ve selected your image, you then click the large blue “Set Featured Image” button at the bottom right of the Media editing screen.