iTunes Album Artwork
No, iTunes and related apps use the artwork from the initial track of each album. Yes, it is frustrating. And no, it is not worth retagging your songs to pretend each of the tracks is its own album.

I asked what is essentially the same question over here:

https://superuser.com/questions/11081/how-can-i-force-front-row-to-show-me-single-artwork-instead-of-album-artwork

In case you want to ask Apple to add this feature, here is the feedback page for iTunes:
http://www.apple.com/feedback/itunesapp.html