I'm not sure if this is already doable, but I'd just like to ask check about this.
While updating the theme (by uploading a new copy in a new directory) I'd realised that I needed to manually move/copy the old header images over as well. Is it possible to specify a URL (outside the theme directory, perhaps even on an external URL) for this purpose? It'll make future upgrading easier, and will probably help with Wordpress MU installations where users can't upload their own header images.
Same goes with favicons, actually - is this actually possible?