Usually it is as simple as putting a cover.jpg file into a directory, that contains a single album. Sometimes and in some cases, though, that does not work. I found out, that the N9's default music player is supposed to follow Media Art Storage specification. That gave me hints.
If a directory contains more than one album, you can name the cover image files according to the album, for example 'Back in Black.jpg' and 'Flick of the Switch.jpg', as long as the names correspond the ID3 tag album name (somehow?).
My real problem case was a directory full of songs downloaded from Nectarine. I edited them all (EasyTAG is a wonderful tool) to make the ID3 album tag "Nectarine" because I wanted to have them all under the same "album", and there are over 50 songs in that single directory. Simply adding a cover.jpg or Nectarine.jpg did not work.
There are two possible reasons that I found. First, the directory contains too many files, according to the Media Art Storage spec. Second, apparently the cover art is not taken into use, unless at least one song file, which would use that cover art, is touched (modification date updated).
I created a new directory, moved one Nectarine song into it, and put Nectarine.jpg there, too. And it started to work, for all my Nectarine songs.
There is software called Tracker in the N9, which maintains some sort of database of all media. Also album cover art gets used via Tracker. If you ssh into your phone, and move around your media files, Tracker update is not automatically triggered.