I have had this problem since iOS4 and I recently (mostly) resolved it in iOS6.
1. First make sure you do not 'Sign In' into iTunes store.
2. I used playlists to resolve the issue. Create a playlist with one song, preferably one that does not have any album art.
3. Create another playlist with all the songs you want to add.
4. With your iTouch/iPhone attached open iTunes. Go to Device->Music. Under Sync Music:choose "Selected playlists,albums and genres". Choose the one song playlist from those shown. Click on the Sync(Apply) button. This will delete all of the songs.
5. Once the deletion is complete choose the playlist with all the songs. Click on the Apply(Sync)button. This will install all the songs again and with album artwork.
6. Once all the songs have been installed click on all the playlists that you want to add (no new songs) and click on the Sync(Apply) button again.
You should now have your songs with album artwork and playlists installed. Hope this helps. The song in the one song playlist won't have any artwork even if it is included. There were some albums whose artwork were not installed. I had a 95% success rate. As I said, it mostly solves the problem for me.