IOS 4 on your iPhone can now protect (with your passcode) the encryption keys used to protect your data (Apple KB, which I also used the image for this post from, here). This, along with the option for stronger passcodes (not just 4 character number passcode) provides MUCH stronger protection against accessing the device offline. If IOS 4 on the iPhone acts like 3.2 on the iPad, a device wipe is almost instantaneous, as it just wipes the keys to the 256 bit encryption. Another step forward towards regulated enterprise compliance. Not positive if this protects against the forensics tools over at iphoneinsecurity.com.
Bottom line: If you even think you’ve lost your device, remotely wipe it proactively.
Bottom Bottom line: Due to the Bottom line, backup your device regularly.