Where they purchased from iTunes ? If they were and if you are in a country where you can redownload music (and if they are still in your country's store i.e. do they show in the Purchased tab in the iTunes store app on your phone ?) then try deleting them from the Music app and redownload them via the Purchased tab in the iTunes app.
Or on your computer's iTunes select those albums in the Music part of your library (not the Music part of your phone's library) and right-click them (control-click if using a Mac) and you should get a popup with 'get album artwork' being one option :
Then delete the current version of the albums from your phone and sync those updated versions to it instead.
Adding artwork : iTunes 11 para Mac: Adicionar grafismos às músicas e outros elements (it's similar on a PC, but your right-click the songs, not control-click)