If the company offers a text area, or field, in which to paste cover letter text, it would be a good idea. After all, that's why it's there. And you'll stand out from those pilots that ignore it.
If the web application asks only for your resume, just include that. Otherwise you risk being considered an applicant who can't follow instructions.
One thing you should always do is include a cover letter if you are emailing in a resume as an attachment (Word file). Include it in the body of the email (the text, that is) AND as a separate attachment. The cover letter that's in the body of the email can be a shortened version of the full cover letter.