What protocol are you using? (Windows File Share, SAMBA, FTP?)
I haven't noticed anything of the sort, but anyway when I copy pictures around I'm easily limited by hard disk speed on my home server (WD Caviar Green 15EARS) before saturating a gigabite connection. I don't know about specific file formats, but I know that transferring a whole lot of little files is much slower than transferring one big file of the same size, which is why I put my little files in an archive (even a .tar with no compression) before sending them over a network.
"The computer programmer says they should drive the car around the block and see if the tire fixes itself." [src]
I'd say it's because you're transferring a bunch of relatively small files. That involves more seeking, reading and writing by the hard drives to perform. Also if you consider the file system too, much more data needs to be written about each file and where it resides physically on the disk. Compared to large files that is a single continuous data stream which involves much less overhead.
As said above though, if you're backing up files, best to just put them into an archive to make a single large file to send across the network.