In general, the copyright is held by the photographer taking the photo (with a few minor exceptions, such as if they've a contract which transfers the rights to another person, such as their employer).

The rights holder may choose to licence their work to you, either in exchange for a fee (something like a stock image library) or sometimes without a fee (such as projects like Wikimedia Commons). Irrespective of whether a fee is paid or not, there may be further conditions attached to the licence, and to pick on the Image of the Day on wikimedia Commons at time of writing, it is licensed under the Creative Commons Attribution-Share Alike 3.0 Unported license -- in lay terms, this means that you can use the image without paying royalty as long as you attribute the original creator, and any derivative works are also licenced on the same terms.

Over and above this, there are is the concept of fair use use which can allow you to use something that is otherwise copyrighted, and you should consult your local, friendly lawyer to understand what classifies as fair usage in your jurisdiction; my basic understanding allows fair usage to include (say) a photo of a book cover (a copyrighted artwork) if you're using it in a context of a book review, or in an online sales situation, for example. Some jurisdictions allow for satirical use, although that's more about infringing trade marks.

It is key to remember that not having to pay a royalty does not mean there are no restrictions, and also that copyright is implicit, so you should seek a licence to use content that you did not create; If you forget this key principle, you may end up in court.