I keep a lot of album art in iPhoto that I get from various places. Here's what I do to add artwork to an entire album at once in iTunes. I'm sure there are many ways to go about this -- using AppleScript, for instance -- but I did not want to go the AppleScript route.
First, I have Expose setup to show All Windows mode when I push my mouse in the uppper left corner. I open iTunes and select an entire album of songs (I use Shift-click). Then I hit Command-I to open a single Info window for all the selected songs. Next, I switch over to iPhoto, and find the appropriate album art. I then drag the picture to the hot corner for Exposé's All Windows mode, then hover over iTunes for about a second. iTunes will then pop forward and probably beep at you, no biggie.
Now drop the image you are dragging into the Artwork square in the Info window. When you click OK, then artwork will apply to all selected songs. Presto!
Mac OS X Hints
http://hints.macworld.com/article.php?story=20051210085101666