Here are my findings: (Edited)
In fact there are two ways to theme a view : the "field" way and the "node" way. In "edit View", you can choose "Row style: Node", or "Row style: Fields".
with the "Node" way, you can create a node-contentname.tpl.php wich will be called for each node in the view. You'll have access to your cck field values with $field_name['value']. (edit2) You can use node-view-viewname.tpl.php wich will be only called for each node displayed from this view.
with the "Field" way, you add a views-view-field--viewname--field-name-value.tpl.php for each field you want to theme individually.
Thanks to previous responses, I've used the following tools :
In the 'Basic Settings' block, the 'Theme: Information' to see all the different templates you can modify.
The Devel module's "Theme developer" to quickly find the field variable names.
View 2 documentation, especially the "Using Theme" page.