My MP3s are tagged correctly (as far as I can tell), and if I play the same files on my PC I get the right cover art. They are all embedded in the files themselves, and I do not have any jpg files in there.
We all like Billy, but I don't like that he shows up in at least 9 of the albums I have loaded. I tried one suggestion to go to the Album view and open it from there, but these "bad Billy" albums don't show up in that view. You can only see them in the Songs or Artists views. Its possible something is wrong with the tags, but they look correct to me?