If your method of contact is email, then put the cover letter in the body of the email. If you don't, you're blowing your first impression. It would be fairly odd to receive an email from a job candidate that says "I'm applying for your job opening and my cover letter and resume and clips are attached." Try not to waste the recipient's time -- just get down to business and don't make him/her take an unnecessary step.
Along those lines, this unsolicited tip: If you're attaching a resume, make sure it's a .PDF document. It would suck to spend a lot of time "beautifully" formatting your resume in Word, then later discover that the recipient uses a different program or has a variation of Helvetica on his/her machine and sees nothing but a scrawling mess when he/she opens your document. (This is especially true when one person has a Mac and other has a PC.) As a hiring editor myself, I cannot begin to tell you how many times candidates haven't taken this into consideration. I try not to hold it against them, but if the resume is difficult to read, I won't spend a whole lot of time with it.