This is a complaint of mine too. Hopefully this will change when the iPods get cameras. Ideally, the Photos app would sync with MobileMe and I could create and manage the albums directly on the iPhone. Rather than sending a pic to MobileMe, I would move a picture to an album and it would sync behind the scenes, just like bookmarks.
It's ridiculous that I have to take a picture, then sync it to my computer, then sync it back to my phone in an album that is completely independent of my MobileMe albums.