FTM 2009 has an "upload to Ancestry" feature. It creates a ".gedz" file which is a zipped GEDCOM file with FILE tags intact (its "export to GEDCOM" omits them). Included in the zip file are the corresponding image files (in the zip root).
You can cancel the FTM upload to Ancestry, rename the file to ".ged.zip" then upload the GEDCOM file to PGV, un-zip the image files to the PGV media folder, and then have PGV generate thumbnails.
To go in the other direction, you generate a GEDCOM file in PGV and put it in a folder on your PC along with the image files from the PGV media folder. Change the GEDCOM version tag from 5.5.1 to 5.5, and import it into FTM 2009, which links to the image files in the folder.
It would be COOL if PGV would import and export ".gedz" zipped GEDCOM files and images automatically!