Your comment was the most insightful I have ever been reading on Slashdot. Kudos for it =)
Western cell phone markets are quite saturated. Nokia cannot increase its market share here anymore and thus Nokia shareholders force Nokia to enter new markets. Nokia has a very big pile of cash for little ventures. N-Gage was one try. Also, Nokia has manufactured GPRS based wireless security cameras and they (at least) had "entreprise products" division which didn't catch any fire as far as I know.
On the other hand, the same applies for Apple. Their computer market share has steadily grown, but I doubt this is enough for the shareholders. It's just matter of time until we see iCell, the Apple cellphone. Maybe Apple wants do it alone, or using white label technology, since co-operation with Motorola really wasn't a hit (the device was iRokr or something like that).
Mobile phones is vastly more difficult business area than MP3 players + selling on-line music. Legal rules, carries, billing, existing customer bases and the technology itself is already complex (think about those 10 000+ patents you need to take care of).
So which one you will buy... a good music player with weak phone capabilities or a good phone with weak music capabilities? Average consumers would probably buy a good music player AND a good phone...
A decision to force iTunes open for competing devices by European governments will probably mix the deck further.