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That's not quite right.
The protocol supports it-- just take the output of an unconfirmed transaction (paying to you) and then broadcast a send-to-self transaction that uses it as input and has a big, juicy fee.
I think the Eligius mining pool might even notice and confirm both transactions-- Luke DashJr has a pull request to change the reference implementation's transaction selection code to consider fees for sets of related transactions when deciding what to include in a block.