There are programs out there that'll do that, for cross-stitch. jokervalentine hooked me up with some. I want to scan in some images from Zaftig; some of the pieces in there would make awesome art.

In fact, although I don't know how expensive it is, you can also custom-order jigsaws by a similar process, although it does involve sending away, rather than a home program. Maybe I should start a collection of erotic art and nudes jigsaws!