Off of what Gandolf said, accessing memory is much faster than accessing the disk. If you can preload 5 sprite sheets into memory, you'll save lots of time than loading each sprite from the disk whenever you need to use it. Also, there is overhead involved for every image you include in a game, no matter what compression you use (gif or jpeg), so consolidating all those images into one sprite sheet means just the overhead for the one sheet, rather than overhead for every single image.
Ghost
