Try turning the photo syncing off, then sync.
When it is done turn on the photo syncing again, but choose the individual album option. Then sync each album individually. That way if it does not work you can isolate any album that is causing the problem. But it will probably all sync.
There is another possible solutions to this that is probably easier to try. There is a photo catch that sometimes gets out of whack and causes syncing problems Deleting this catch can sometimes fix missing file errors. Here is the relevant Apple support page.
iTunes: Understanding the iPod Photo Cache folder
Thanks to beach1ady for pointing this out in another thread.