You can say either. But many natives would just say, "I like Monday best because I have art". That it's an art lesson or class would be understood.

Both are correct. However, "class" always refers to a situation where a *group* of students are brought together to learn with a teacher. The key word is "group". An individual lesson with a private tutor (just you and a teacher) is not really a class. This idea that "class" signfies group activity carries over into other realms. For example, a "class action lawsuit" is a lawsuit brought by a large group of people. "Social class" refers to a heirarchical grouping of members of society according to economic or educational circumstances. "Lesson" is a better word for one-on-one sessions or small group sessions with a tutor. "Class" works best when there is an actual classroom, be it a physical one or merely a virtual online one. However, you may always use the word "lesson" if you wish, even for a big university class.