Ok, here is something I discovered yesterday. A mate of mine uses WSS for his personal use and he wanted that anonymous users could upload pictures into a picture library. Problem was that it was not possible! It was possible to create an announcement anonymously so that was really odd. Since a picture library is just a fancy list and an announcement list is not-so fancy list. But both still are basically a list and should have the same permissions actions.
So next step was to google the problem.. One of the first hits led me to : Enable anonymous access from the Office site. Scrolling through it, there was this note at the very bottom of the page..
Aha! So now googling (*cough* LIVEsearching *cough*) for the solution was much more easy ;)
Stumbling upon, Enabling anonymous users to open and submit data via InfoPath Forms published to SharePoint 2007 by Ervin Gayle checking step 13:
13) Take a look at the URL of this page you will notice that after the setanon.aspx page there is a query "obj=%listidhere....." followed by "DOCLIB"
14) If you change this last part of the URL from "DOCLIB" to "LIST", you will notice that you now have all of the option that you've been missing.
..was the answer to our problem!
I'm guessing (/hoping) there will be a hotfix that will enable administrators to explicitly enable/disable this feature.