I have had this issue on my MacPro ever since upgrading to Lion (although it is difficult to pinpoint exactly to the initial upgrade to Lion - may have been a Lion update).
I am currently running Lion 10.7.5 and iTunes 10.7 (64 bit) on a MacPro 1,1. My iTunes library is (and always has been) on an external FW800 drive, and the location is specified in the Preferences->Advanced setting in iTunes. I have had this configuration for years without any issues.
Whenever I add a new album to iTunes, I manually add the artwork to each song, so that the artwork is embedded in the file. Once the artwork was added, the file icon (e.g., right click -> Show In Finder) would change from generic to the actual artwork itself.
However, now, all of the icons for music files (e.g., mp3's) in my music library have a generic icon rather than the album cover art, even though the cover art is embedded in the file. I have no problem seeing the artwork in iTunes, but when I look at the file in Finder (and Get Info) it has a generic one.
I copied several mp3's from my iTunes library onto a flash drive and opened the flash drive on my wife's computer (MBP running Lion 10.7.5 and iTunes 10.7), the icons appears in the Finder window as expected. Furthermore, I enabled file sharing on my computer and opened my iTunes library from my wife's computer and the icons appear normally with artwork.
I must therefore conclude that the issue appears to be one in which the Finder on my MacPro has some configuration issue which is preventing it from displaying the finder icons with artwork. I tried deleting the com.apple.finder.plist and com.apple.desktop.plist as well as the com.apple.finder and com.apple.iTunes cache folders, with no improvement. I also note, though not sure if related, occassional "ghost" icons on my desktop and some random finder windows (esp. shortcuts).
This is not a major deal for me, since the icons work in iTunes (and get synced properly to my iPhone/iPad), but I would like to know what is going on and how to remedy it, since it clearly is improper behavior (based on comparison to my wife's computer, which is running the same OS). I know other threads have addressed this issue, but reading though them has not provided a solution for me.