Hi,
There's a little app called "Coversutra" that does this!
It puts a fake cd box with the cover of the currently playing iTunes song on your desktop!
It can do much more though and is really useful.
You can get a full description on the product page here:
http://www.coversutra.com/
However, it doesn't put the cover in the dock!
I hope this could help.
Cheers.