Are you still having issues with your Zune Media Collection? In the Zune.net Forums, user streetchariot has compiled one heck of a list of info to help you out. ( View the Thread ) Below are a couple of the common issues related to Album Art.

If your albums are not right on your Zune:
1.   Connect your Zune to your PC.
2.   Goto the Device Tab in the zune software, and remove any albums that are not right.
3.   Go back to the Collection Tab and browse to the albums you just removed.
4.   Right click them and choose "Sync with <<Device Name>>"
5.   Those albums will re-sync to the Zune.
* If this does not work, or every album is not right, you can re-sync your entire collection by wiping the Zune clean.

If some of your albums (on PC) still do not look right after the fix:
1.   You can use a MP3/WMA tag editor to fix the albums in question.
OR
1.   You can use the Zune software to fix them.
2.   Soft the column that all of the data is correct on, (ie: if Artist is OK, but Album is bad, sort by Artist).
3.   Right click on the part that is wrong on the song, and goto Edit.
4.   You can now edit the name.

How to fix wrong album art: (Contributed by: bitkiller0)
1.  Perform steps 1-4 in StreetChariot's initial post (including disable of "Update Album Information" option under Settings...Collection...)
2.  Navigate to %USERPROFILE%\My Documents\My Music\Zune
3.  Click on the Search Button
4.  Search for all files and folders named zunealbumart.jpg
5.  Delete all files found within music folders
6.  Resume steps in StreetChariot's initial post at step 5. 
7.  Re-enable the "Update Album Information" option under Settings...Collection...
8.  ZuneAlbumArt.jpg files will be regenerated as well.  :)