Some of this may depend upon the formats supported by your car.
I know with MP3s you can embed artwork (I only have two AAC files and while I believe you should be able to embed artwork I haven't gotten it to stick). This means the artwork data is actually included in the file as a tag. I don't think iTunes does this as routine. It gets artwork but it saves it as a separate file. Check the Dougscripts web site for a script that embeds the artwork. Note that each file for which you do this will become slightly larger which is why for people with thousands of files iTunes does it a different way normally which is just keep one reference artwork file for all in an album.