Just a heads up that album art can still be embedded in apple lossless.
James is quite right that any automatically obtained iTunes artwork may not embed properly as it is a cached resource.
However, there are a couple of ways round this. One is to rip CDs using X-Lossless Decoder which is an outstanding free app, the other is iTunes.
With X-Lossless Decoder (XLD) - at the point of ripping, the software grabs from the web its "best guess" of the album art. 80% of the time it's spot on, though I am very picky and search for the highest resolution images and resize them to 475 x 475 at 150 dpi. The resized image can then be dragged onto the main XLD album window to embed into the file.
To embed album artwork into iTunes. Select an imported album in iTunes, use Command-I (on a Mac) and drag the correct jpg onto the artwork placeholder. Voila - all the songs in that album are embedded with the artwork.
Hope that helps...