A comparable issue happened to me twice. The first time my audio files database was empty after a synchronization that went wrong. The second time my pictures application was never able to load the thumbnails. Each time the solution has been the same: clear the multimedia database.
To do so, go in "Settings" -> "Applications" -> "Manage applications". Then make sure you set the filter to see all applications. Find "Media Storage" in the list and then press "clear data". After that, you will need to wait a little bit for the database to regenerate, you may even have to reboot the phone to trigger the database generation.
This should correct your issue, and many more issues related to the multimedia database under Android.