A lot of people just use them and give credits (not really the *right* thing to do). However, as a general rule of thumb:
(1) If you can contact the person and ask them, please do so. 2 reasons: sometimes they like to see their art used; it is respectful. If it is from a deviantArt or fan art, I really encourage you to ask them first.
(2) If it is from some big company like Blizzard or some other company, they won't care as long as its for non-commercial use.