When you didn't setup iTunes correctly, regarding syncing with your iPhone, you will see all your photo's on your iPhone in one "Photo Library" entry. Not very easy when you are looking for one specific picture.
To see all sets in a nice list on your iPhone, set up iTunes as displayed:
... and you can see all sets seperated on the iphone, in stead of 1 "Photo Library" entry:
To see all sets in a nice list on your iPhone, set up iTunes as displayed:
... and you can see all sets seperated on the iphone, in stead of 1 "Photo Library" entry: