How come the CDs I put on iTunes don't have the album art?

Then when I download those songs onto my iPhone, they still don't have the cover art.

Most of the Music CDs which you try to rip won't have any Images.
Even if you download some song or album and render it into a music CD, it will not carry the Image, unless you make it into mp3 CD or DATA CD.
But if the CD has Track names in it, then you might want to try switch on your internet, so your iTunes will automatically search for more information and it might get you the Original Cover Art for the song.
So you might end up getting cover art for the song when you sync it to your iPhone or iPod or iPad.

You can easily add your own art using get-info. You can find album covers on the internet.