Okay, I've figured out how to synchronize the bookmarks. I must say that they've certainly hidden it well enough!
It seems to work very much the same way as with Windows Mobile, it will create a folder in your desktop browser's bookmarks list called "mobile bookmarks" that it syncs to the device from.
I'll go through it step-by-step:
1- Right click on the PC Suite icon in the system tray in Windows, select synchronize.
2- Use the sync setup wizard (it'll be easier this way), select your desktop PIM application (for me, it's Microsoft Outlook). Don't worry, if you use Exchange like I do, you don't have to sync anything from Outlook, it will be explained in the next step or two.
3- On the next page there will be an option to sync contacts, calendar, tasks, bookmarks, etc. Uncheck all of them except for bookmarks.
4- Choose how you want the synchronization conflict resolution to go, I usually choose letting the desktop overwrite the device, unless you have bookmarks on your device you want to keep, then choose synchronize in both directions.
5- The next step will ask you if you want to synchronize automatically or manually, I always choose the manual sync.
6- Uncheck the box that says begin synchronization upon completion of this wizard. Complete the wizard and then go back to your desktop browser and arrange the bookmarks you want to synchronize. For me, I only wanted certain ones synchronized, so I copied and pasted them into the "Mobile Bookmarks" folder. Small note: folders within folders will not be synchronized, so plan accordingly. In Windows, you'll find the browser bookmarks folder in a file structure that looks like: C:\Documents and Settings\your username\Favorites or C:\Documents and Settings\Administrator\Favorites.
7- Synchronize and you're ready to go!
Note: There is a bug that has persisted for years in Nokia's browser bookmarks that still exists. No matter how you enter bookmarks or folders containing bookmarks, they will be in reverse from z to a. I've mentioned this to Nokia marketing and technical people over the years, but it has never been addressed. So if you do notice this, it's nothing you've done wrong, it's just that bug.
Enjoy!