For the alpha release, the following devices have been tested and should have a fairly solid jQuery Mobile experience. That being said, there are still a fair amount of bugs and performance improvements to be tackled before the 1.0 release in January.
Older versions of Blackberry, Nokia/Symbian, and Windows Mobile may work but we're still seeing JavaScript errors and rendering bugs that need to be tracked down. We don't yet have phones to test Windows Mobile 7, bada, or MeeGo but these will be added as soon as we can get devices.
Since jQuery Mobile is built on the jQuery core, all pages should also work great on most recent versions of desktop browsers too - Firefox, Chrome, Safari, Internet Explorer, Opera, etc.