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you have to add album art yourself...in itunes, right click the song and click get info, and click the album art tab. then you have to go to google or somewhere to find the image, and drag it there. after you have upadted the album art, then drag the song to your iphone, and it will work
 
are the album art embedded into your music files via the ID3 metadata? there might be something wrong. i would do a "clear album art" on the files, try to get itunes to find the album art again, and resync
 
use amazon to find the album pictures. it's really useful when iTunes can't find the album cover art.
 
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