Apple iPhone 4 - Tips and Tricks (official Apple site)

The above page has some neat tricks; some old and some new. My favorite that is either new or I didn't know about:
quickly scroll to top by tapping the status bar.

In a text message when you want to call someone, the 'call back' button is way at the top which I always found ridiculous. At least now you can get to it in an instant! (I think this feature was only in Safari before and now its more universal, because I do remember trying this before in the text message app and being frustrated.)