I just tested again with External depth = 2, and all 
the images I was missing from external sites were 
grabbed.  However this also means all other pages 
(html files) linked are also grabbed, leading to many 
extra unwanted files being retrieved.

This makes sense since it appears the External depth 
filter is overruling all other filters, which explains 
why External depth=1, even with +*.gif skips the gif 
files on external pages.

Any hope of a fix for this?  I'm not sure if people 
want it to continue operating as-is or not, but I 
think IMHO it would be more useful if this was 
changed.  :)