I feed a mini geek giggle over this concept thinking of a Fallout Bobblehead avatar and fallout background art over the grey box. A bobbing bobble head.
I think this is eminently doable, and those of us who make sigs from time to time know that the actual size of those files is minuscule. Downloaded in the background they would over tax the bandwidth all that much (unless you have 100's of friends on your list which some of you do). And only friends who had gotten one of the avatars would need to be DLed.
As far as this being an advertising stunt unduly burdening the user base. Everytime you speak of a game to another person you are advertising that game. Having a themed banner is no different than turning to someone and telling them how much you like a given game. (Or how much you hate it... "Any press is good press")
I think this a a interesting idea that adds to the immersion into the playstation network. I think people wanting them to change with what a friend or yourself is doing on the PS3 would increase the load carried on the badnwidth, but letting people choose custom friend banners is overall a good idea, and something Sony should pursue.
I know this debate started before 3.0, but with 4.0 coming SOONish and the new Home coming to full release it is an idea worth revisiting