You can only do this to you own photos. Due to recent upgrades, Facebook has made this more difficult. To do this, go to the album page where the photo is that you want to link to. You should see thumbnail images of the photos in the album. Hold down the "Control" or "Command" key while clicking the photo that you wish to link to. A new browser tab will open with the picture you clicked. Under the picture there is a URL that you can send to others to share the photo. You might have to have the privacy settings for that album set so that anyone can see the photos in that album. If you don't the person who clicks the link may have to be signed in and also be your "friend."
Here is an example of one of my photos: http://www.facebook.com/photo.php?pid=43764341&l=0d8a526a64&id=25502298 -it's my cat.
Update:
The link below the photo no longer appears. Once you open the photo in a new tab you can right click the photo (Control+click for Mac users) and click "Copy Image URL" or similar and then share this link. Based on my tests the person who clicks the link doesn't need to use Facebook. The photo will load without the Facebook interface. Like this - http://a1.sphotos.ak.fbcdn.net/hphotos-ak-ash4/189088_867367406856_25502298_43764341_1304758_n.jpg
