iTunes does a respectable job of downloading album artwork, but it seems like there's always a few songs or albums that trip it up. In my library, for instance, the software has trouble with various jazz classics.
Fortunately, it's a simple matter to manually add artwork to any song that needs it. For starters, let iTunes take another crack at it: right-click the song and choose Get Album Artwork. If the artwork database was updated since iTunes last scanned your library, you might get lucky.
If not, head to albumart.org and search for the album in question. When you find it, click the magnifying-glass icon to see a larger version. Then right-click the image and choose Copy (or Copy Image if you're using Firefox).
Head back to iTunes, right-click the song, and choose Get Info. Click the Artwork tab, then right-click in the big empty window and choose Paste. Presto! There's your artwork. Click OK and you're done.