Some of the answers you can find here.
The rest don't have a clear cut answer.
As far as choosing a mobile, I'd say choose something with a wide market (Series 40 devices come to mind), and preferably with infrared or bluetooth (or a cable, though this tends to be more complicated) so you can transfer your application easily to the phone while in the development stage (and you don't have to download it every time, that can cost you a pretty penny). Another thing to consider, is that J2ME has several extensions for things like multimedia, messaging, bluetooth, etc., so if you are interested in developing on any of these fields, make sure you choose a phone that supports the appropiate API. A list of the Nokia devices available.
I suppose that to use Bluetooth or Infrared, you need a Wi-Fi connection on your PC. I uses a Packard Bell Laptop that doesn't have a Wi-Fi connection. I don't know if I can upgrade my Laptop to Wi-Fi. Does this means that the only way to transfer data from PC to phone is with a cable ?