I always ask for a cover letter. It's my first filter. Any resumes that don't have one go straight into the delete folder because I'm the boss and if I ask for a cover letter and you don't bother, it shows me that either you have no attention for detail or you think you don't need to do what I ask or that you don't complete tasks.
Since resumes are often written by third parties a cover letter is also a chance for me to assess someone's ability to comprehend and communicate.
This. Even if a cover letter isn't requested in the ad, its still good practice to include anyway.