Take the default Twenty Eleven theme. It's a responsive theme which scales rather nicely depending on screen size. You can try it with your own browser by making the window very narrow. You will see how the menu/header section transforms when going below certain widths. And images are scaled down (in dimensions, not in files size!) to keep fitting inside the width of the content area...
But that is all that it actually does. If you design your theme stylesheet a bit better, you can make it use smaller header and background images (in file size, not only in dimensions!) but that is about the limit that you can do with a responsive WP theme.
It cannot re-process images so they are actually smaller in file size so they keep looking nice (in their scaled down dimensions) while taking much less bandwidth and download time than the original images.
It is these things that many of the mobile plugins aim to take on. And not surprisingly, I think, due to the complex nature, arrive at various stages of achieving it.
The optimal situation in my mind would be using a responsive theme AND a mobile plugin (directing to an external service or an alternative WP theme) and then configure the plugin to only direct the smallest devices to the mobile theme (with smaller sized image files) and let larger devices such as the latest smart-phones and tablets, which usually are on Wifi or 3G high-bandwidth mobile networks, see your normal responsive theme.
I imagine it still would not be perfect but closer to the ideal anyway. What do you think?