Right click Get info and change the album to all have the same name. Then add the album art you want.
I had album cover problems with my wifes CDs. But I got it working. I went to the web and found the appropiate album cover and saved the image to a JPG file on my computer. Then I selected all the songs of the album - yep - you must select all the songs and then right click on them and click on get info. iTunes will ask if you want to change all the songs and you say yes. Check the check box for album cover. Then go copy the JPG image and right click the box for the album in the current iTunes window for editiing all the songs and select paste to place your picture. If you ONLY change one song - iPhone will not display the picture, unless it is the FIRST song in the list for the iPhone. Some pictures also have a problems in the iPhone - these I have found to be SMALL jpg files.