As tohecz mentions in his comment, you can use \marginpar for your purpose; using \captionof (from the caption or capt-of packages) you can provide the captions.
\documentclass[twoside]{article}
\usepackage[outermargin=2cm,innermargin=5cm,marginparwidth=3cm,marginparsep=20pt]{geometry}
\usepackage[demo]{graphicx}
\usepackage{marginnote}
\usepackage{caption}
\usepackage{lipsum}
\newcommand\MarginFig[4][width=\marginparwidth]{%
\marginpar{\includegraphics[#1]{#2}
\captionof{figure}{#3}
\label{#4}}
}
\reversemarginpar
\begin{document}
%\layout
text\MarginFig{name1}{description for figure one}{fig:test1} \lipsum[1-2]\MarginFig{name2}{description for figure one}{fig:test2}
\lipsum[1]\MarginFig[height=7cm,width=\marginparwidth]{name3}{description for figure three}{fig:test3}\lipsum[1-3]
text\MarginFig[height=7cm,width=\marginparwidth]{name4}{description for figure four}{fig:test4} \lipsum[1]\MarginFig{name5}{description for figure five}{fig:test5}\lipsum[2]\MarginFig{name6}{description for figure six}{fig:test6}\lipsum[1-3]
\end{document}

In the code above I used the \reversemarginpar command and the geometry package to customize the page layout in order to obtain the result shown in the original question (images in the left margin for odd-numbered pages and images in the right margin for even-numbered pages). Those settings are, of course, optional.
tufteclass`! – Apr 24 '12 at 14:38