Ubuntu 11.04:
You can add the icons to the main menu as follows:
1) In the terminal, call up gconf-editor
2) Navigate to desktop/gnome/interface
3) Scroll down and check the menus_have_icons box.
Done!!
Ubuntu 11.10-12.04:
gsettings set org.gnome.desktop.interface menus-have-icons true
gsettings set org.gnome.desktop.interface buttons-have-icons true
[...] Restore hidden menu icons in gnome [...]