I faced a similar problem moving from my Nokia N95 to my G1. Basically what I did was to use Nokia's software to copy my contacts off my into Outlook. I then exported my contacts using Outlook into a CSV file. I then logged onto my GMail account and imported the Outlook contacts (GMail can understand Outlook CSV files).
I think some of the data was a bit messed up (like the Nokia uses Name, Address1, Address2, City, etc, but Google uses Name, Address), so I exported the data from Google, loaded it into Excel, and messed around with the columns to fix it, then saved the file and imported it again into GMail.
SMS messages? I don't know of any way to import those into an Android phone.
Android does group SMS messages in "threads" yes - so all your conversations with a given person is in one place.