Windows Phone syncs all media, including pictures, with your PC via the dedicated Zune software. You can have picture albums for every directory inside your source pictures folder (usually My Pictures) and even have a sub-album in an album if you create a subfolder inside a directory. How about if you want a specific picture to show up on your album Tile inside the Pictures Hub?
That’s easy if you want a specific folder for one of your Facebook albums. Facebook allows you to set a certain picture as main to be used as a cover but for local pictures, Windows Phone always uses the oldest picture, based on the date it was captured. Of course, you might not always like this (my first pictures from a specific set are always mediocre to say the least) so the trick is to go to the picture of your liking (the one you want to set as that album’s main picture art to appear on the Tile), go to its properties and change the “date taken” field.
If you apply this trick, that certain image will become the “album art” for that specific picture album. If you don’t want to mess up the date of the image (or care about sorting pictures chronologically), you can make a copy of the image (even edit it to your liking) and set its date to be the oldest in the Album.
Example: I personally went with the second option as I often choose to display pictures according to their capture date. I took one of my favorite pictures, edited it accordingly (resize, crop, contrast, etc., which you can always skip), renamed it to “cover.jpg” and set its capture date to 1/1/1900 (or any other date prior to the rest of the images in that folder). It now shows up as the album cover.