Every pair of cells symmetrically opposite from the center is a
complementary pair,
for example, (a,a),
(b,b) in the order 4 and order 5 patterns:

AssociativeSquares makes these squares. It uses the methods outlined below.
Order5Special makes all the order 5 associative squares.
These squares can be made with the Siamese method. See "Demanding the square is associative" in math behind the Siamese method.
There are 48,544 order 5 associative magic squares.

There are no associative magic squares of singly-even order.
This was shown by A.H. Frost (1878) and C. Planck (1919). See references.
A proof similar to that of Planck can be given directly for associative squares, (without involving pandiagonals). Let n be the order of the square, m = n/2, and Σ the magic sum. Consider a 4k+2, k≥1, square where (a A), (b B), ... are complement pairs and W, X, Y are the sums of square quarters:

Summing rows: W + X = mΣ Summing columns: W + Y = mΣ Summing complement pairs: X + Y = mΣ
Thus, W = X = Y = mΣ/2 = 2m⁴ + m²/2 which cannot be, because if m is odd, m²/2 is fractional.
There are singly-even magic squares in which only four complement pairs are not center symmetric.
AssociativeSquares makes these squares
based on
Conway's LUX method.
To get near-associative squares of order n = 4k+2:

where, for example, L' is the symmetric complement of L.
Using L, U, X, and their complements makes a square that is associative, except for the center 2x2, but not magic. A little adjustment in the middle row and column of the pattern makes the square magic with only four complement pairs not symmetric. The changed blocks are indicated in blue. Possible patterns for n = 6, 10, 14, 18 are:


See "Method of constructing a magic square of doubly-even order" in Magic square.
There are 48 order 4 associative magic squares. These are TYPE III in the classification by Dudeney. See references.

Associative squares remain associative, not only under Transform 1 and Transform 2, but by swapping only the described rows OR columns. So, from each associative square, the total number of resulting squares is:
Order Transforms1_2All Swap Rows or Columns Only
-------- ------------------ ---------------------------
4, 5 4 16
7 24 576
8, 9 192 36,864
11 1,920 3,686,400
12, 13 23,040 530,841,600

"Associative magic square" http://en.wikipedia.org/wiki/Associative_magic_square
Conway, John H. "Conway's LUX method for magic squares"
http://en.wikipedia.org/wiki/Conway's_LUX_method_for_magic_squares
Dudeney, Henry E. "Magic Square Problems"
http://www.web-books.com/Classics/Books/B0/B873/AmuseMathC14P1.htm
Dudeney, Henry E. "Magic Square Problems"
http://www.scribd.com/doc/49756911/Amusments-in-Mathematics, page 287.
Frost, A.H. "ON THE GENERAL PROPERTIES OF NASIK SQUARES"
http://books.google.com/books?id=qxMLAAAAYAAJ&pg=PA34#v=onepage&q&f=false
Heinz, Harvey "Order 4 Magic Squares"
http://www.magic-squares.net/order4list.htm#The 12 Groups
Hospel, Ton "The math behind the Siamese method of generating magic squares" http://www.xs4all.nl/~thospel/siamese.html
Planck, C. "PANDIAGONAL MAGICS OF ORDERS 6 AND 10 WITH MINIMAL NUMBERS."
http://www.archive.org/stream/monistquart29hegeuoft#page/306/mode/2up
Weisstein, Eric W. "Associative Magic Square." From MathWorld--A Wolfram Web Resource. http://mathworld.wolfram.com/AssociativeMagicSquare.html