An iPhone is not a full computer and it is not even all that characteristic of a traditional smart phone. The phone is extremely locked down and severely restricts the transferring of files and modification of its software. Furthermore it is based on a reduced version of Apple's OSX operating system, which negates more than 99% of the malicious software market.
Also the iPhone does not support a normal disk mode to allow the free transfer of files to and from the phone. This means that an infected Windows computer you plug into couldn't even transfer a malicious program onto the phone in hopes that you plug your phone into a second Windows computer.
Furthermore no one besides Apple is even going to have an SDK (software development kit) for writing programs on the iPhone until at least after MacWorld (February 2008). So the likelihood of malicious software is further reduced by developers not being given a peek under the hood.
Assuming you haven't tried to hack your iPhone yourself (to use it with a different carrier), the best thing you can do is keep your iPhone up to date with the latest firmware (version 1.1.1, I think). You can do this by regularly syncing your iPhone with iTunes on your computer.
You can also keep your ear on the latest technology news. The iPhone is a very heavily covered item in the technology realm and any discovered vulnerability would covered very well.
