Looks like you are not alone. Someone else wrote...
"This happens to me, too. The only workaround I know of is to shut off the iPhone and turn it on again. It would appear the album art of all the MP3s on the iPhone will appear on the lock screen, but newly-synced files will still have this problem until the next time you shut it off. "
There is an entire discussion here:
http://discussions.apple.com/thread.jspa?threadID=2658454&tstart=0