I work now on some j2me application.  This application uses sockets. I have found out many devices not having sockets support though, that in specification of device sockets support are market as present.
Here the list of phones with a problem in sockets support (J2ME), it can be useful to whom that :

Nokia 3650 (flawed Socket support)
Nokia 7210 (missing Socket support)
Nokia 7250 (missing Socket support)
Nokia 7650 (flawed Socket support)
Nokia N-Gage (flawed Socket support)
Siemens SX1 (flawed Socket support)
Sony Ericsson T610 (missing Socket support)
Sony Ericsson P800 (missing Socket support)

It is checked up on many phones in each of series (my personal sad experience)