For many years, David Rockefeller, along with his wife Peggy, lived surrounded by great art in their 11,343-square-foot mansion, Hudson Pines in Pocantico Hills. Peggy died in 1996, and after David died on March 20 a year ago, the house went on the market for $22 million. It sold earlier this year for $33 million. The art, much of which goes on sale at Christies Auction House in Manhattan May 7-11 will no doubt fetch a premium as well. The collection, which is drawn from Rockefeller homes in Westchester, Manhattan and Maine, includes famous pieces by Picasso, Monet, Matisse and the Mexican artist Diego Rivera, along with dozens of pieces of decorative arts. Befitting the Rockefeller family legacy, the proceeds will be donated to various philanthropies.