Currently supported formats are GIF, JPEG, MPEG, Sun/NeXT audio, AIFF audio, TeX DVI, PostScript, and a couple others. Note that you must have standard viewers installed on your system to actually view information in such formats; see the list of resources used to specify which external viewers match up with which formats.
Later versions of NCSA Mosaic will have full inlined multimedia support, so the implementation in current versions is a hack and will go away as soon as we have the real multimedia support working. In the meantime, don't expect too much. (A demo of the multimedia stuff (among other things) is here.
Mosaic also has support for inlined images and bitmaps, so you can include images and bitmaps in documents and not need to use external viewers to display them.
(In the meantime, consider setting binary transfer mode to 'on' and transferring the file into your local directory to view with your external viewer.)