Scott Dickie has an excellent post about cover letters.
Most job seekers by now understand the necessity of a resume while conducting a job search. However, many do not realize how important a cover letter is to the process. How important is it? Many human resources professionals say the cover letter can have as much, if not more impact on whether or not a candidate is granted a job interview.
You should read the whole post for Scott's reasoning on why cover letters matter and what they should contain. I'll just add that in my experience, not everyone reads cover letters. When I was in HR, I never bothered with them. BUT, my boss wouldn't even read a resume until he had read the cover letter. He was looking to see whether the candidates had bothered to personalize their application by addressing the open position and why they were a good fit. This was so important to him that he wouldn't read resumes if a cover letter wasn't attached.
You can never know which recipient will be like me, and ignore your cover letter, and which will be like my boss and refuse to consider you without one. So write the best letter you possibly can for every single application - and always customize each one.

I'm Louise Fletcher. As President of 
Thank you for the excellent post. We advise all executives to use a cover letter - even if the recipient doesn't read it. It is part of your marketing documents and gives you another chance to connect. It is a sign of professionalism - just like the Thank You note.
Posted by: Sabrina | June 23, 2008 at 03:25 PM
I'm not much of a cover letter reader myself, but NOT having one is a definite mistake. You really nailed it with your last comment, "always customize"!
Posted by: Totally Consumed | June 23, 2008 at 05:53 PM
So true Totally Consumed. I can't count how many letters I've seen with the wrong company name or job title. I've even seen ones that were obviously professionally written and say things like "insert job title here" but the job seeker hadn't noticed and just sent the letter like that. Yikes!
Posted by: louise fletcher | June 24, 2008 at 05:04 PM