Some lovely covers there. Particularly like the way some of them pull you straight into the right frame of mind for the game in question. Warhammer was brilliant for that.
I totally agree with you there. I find that the artwork of a game book seems almost to force on me the look and feel of the game, whether it is to be light-hearted tomb delving and a bit silly or gritty splatterpunk. When it is coordinated well with the theme and atmosphere that the games designer is trying to sell the game it adds a lot to the overall experience for me.
Re: Games Workshop's illustrators, much of my teenage bedroom wall was plastered with recycled GW calendars and posters of art.
Jon Blanche has already been mentioned but deserves another. His Sister of Battle is one of my favourites