All the camera phones I've tried *except* Nokia handsets store photos in the DCIM directory according to the DCF/EXIF standard(*), which also specifies a 160x120 thumbnail. (The standard allows the thumbnail to be stored in a separate .thm file, but all the camera phones I've seen embed the thumbnail in the .jpg file.)
Having an embedded thumbnail (of a standard size no less) allows apps to extract a thumbnail view directly from the image file without having to decode the original JPEG image.
Will Nokia will be supporting DCIM in the future? I've heard rumor that the N series might already do this, but I haven't been able to verify it.
(*) See DCF and EXIF-2.1 (DCF version) at http://www.exif.org/specifications.html