I've got a similar issue. My wife bought me an 80GB iPod Classic, and I've been going through moving all of my files slowly from one iPod to the other (thank you Sentui). As I've done this, I've taken the time to tidy up my library a bit, pulling in album artwork via "Get Album Artwork". However, very few of the tracks retain their artwork once I move them onto the iPod and remove the originals from my hard drive.
Before anyone says "re-sync", I don't sync my iPod. I have an 80GB iPod, and a 10GB hard drive. The reason I got my first iPod was to hold the increasingly large MP3 collection that was taking over my hard drive. Syncing just is not an option. (In fact, the reason my wife bought me the iPod Classic is because she was looking to get me an external hard drive, and for the minimal difference in price this just made sense.)
I've heard rumors that the artwork isn't even transferred to the iPod now, that it stays on the hard drive. Is this true? When I delete the MP3s from my hard drive (after transferring), does it erase the downloaded artwork? I want the artwork on the iPod. I want it associated with and connected to the MP3. I love the attractive display the iPod has (my first color one), but all of the blank album covers doesn't look too slick.