There is a non-obvious detail that can cause this error despite having setup a suitable converter.
So for example, following Fran's answer and the
LyX wiki instructions:
you decide to add a
png converter. Since
png is well supported and is among the GUI displayable formats, that is a reasonable choice.
Under linux you might decide to use:
pdftoppm -png -singlefile $$i $$o
which generates slightly smaller files than
pdftocairo -png .... The difficulty is, the output file will be named
LyX will be unable to find it, causing the error:
Error converting to loadable format
which leaves no real clue about what the problem is.
An easy way to fix this is to use the command:
pdftoppm -png -singlefile $$i > $$o
LyX proceeds normally.
Another issue is the display resolution. Under the
LyX options tab you may wish to set the display size to 75% or so - this does not affect the ultimate pdf size, but it makes it easier to see what you have inserted in the GUI, since you can see the whole image.