SnapMedia, from Futuredial does this, I think, via a USB cable.  The
only other option I'm aware of is a "Yahoo Photos" application for
sale via SPCS' content catalog that will access Yahoo's section by
that name and let you download your Yahoo Photos to the phone.

I think it's $3.99/month for that application on your phone.  The
Photos service itself is free.  You'd have to upload images into the
service from your PC, then use the application to get them to the
phone.