Yes, I've noticed this as well... Photobucket is especially bad (as usual). I haven't seen the same with Imgur but I believe it.
What I do is first try to just drag and drop the image onto my desktop or into whatever folder I'm using. If that doesn't work then usually a "save as" will do it. A lot of times Photobucket will corrupt the image when trying to save - I'm not sure if this is intentional or just the result of poor system architecture on their side (I suspect a combination of both...)
Hopefully once the new site is live we can eliminate these problems entirely.