I want to be able to check test coverage of those of my methods that have complexity above some given level.
Are there any plugins for Eclipse, Sonar, Hudson for that?
For good code coverage you should check out this tool. It's availiable for Eclipse.
Emma Code Coverage
As already mentioned Cobertura is a tool for measuring code coverage. It also measures complexity (see the example report). So you could try to transform the xml output of it that it only shows coverage of methods that exceed a given complexity threshold.
Emma code coverage can also be used via ant for code coverage automation.
http://eclipse-metrics.sourceforge.net/
The Eclipse Metrics plugin to measure complexity
I've found simpler solution. I can use a filter in SONAR http://docs.codehaus.org/display/SONAR/Filters where given metric can be used.