I’ve just spent too much time tracking down the problem where Facebook shares of WordPress posts appear in Facebook without an accompanying thumbnail. This problem is easy to avoid if you set everything up correctly.
1) Install any one of the many WordPress plugins that insert OG meta-information into your single post pages. I am currently using Fix Facebook Like which is straightforward to configure and seems to include all necessary OG tags.
2) Make sure all posts have featured images that are at least 200x in each direction. (The size restriction was the last piece of the puzzle!)
3) Verify that your page is correct by using Facebook’s (crappy) debugger: http://developers.facebook.com/tools/debug. You may have to refresh the debugger page a whole lotta times (or resubmit again and again and again) to get past Facebook timeouts and parsing errors.
If everything is ok and the stars line up properly, then when you share your WordPress blog post, you’ll see a thumbnail in your Facebook feed.