If you use Nokia Multimedia Transfer (NMT) and open the Nokia Device Browser, it will synchronize all of the files on your phone into a cache on your computer. The cached files are located in ~/Library/Caches/com.nokia.NokiaMultimediaTransfer/Devices/###/, so you can browse them while the phone is unplugged.

NMT synchronizes with iTunes, but doesn't transfer album cover art that's been downloaded automatically by iTunes. Apparently iTunes stores the art in a database rather than in the ID3 tags as you'd normally expect. In order to have the album covers on your phone, you can use this simple AppleScript to embed iTunes cover art into the files. This works for any N-Series phone, and other devices like Zune etc as well.

Once you install it, select all of your songs in iTunes and go the AppleScript menu and "Embed artwork" it will do the rest automatically.

Apparently another app called Corripio will do something similar but I haven't tried it.