Security firm Symantec warns on their blog for a new trojan that poses as an iPhone firmware update. Fortunately the risk is minimal:
Reports started appearing on Saturday regarding the existence of malicious packages for the Apple iPhone. A package called "iPhone firmware 1.1.3 prep", which was described as “An important system update. Install this before updating to the new 1.1.3 firmware.” was reportedly causing problems for iPhone users once uninstalled.
According to various reports, installing the package doesn't have much effect on the iPhone. However, uninstalling it may cause problems, as the malicious package overwrites some other applications during the install. Some of the applications it overwrites are "Erica's Utilities" (a collection of command-line utilities for the iPhone) and OpenSSH. If the user chooses to uninstall the bogus package, these applications will also be removed. Affected users will need to reinstall these applications.
This is technically the first Trojan horse seen for the iPhone, however it does appear to be more of a prank than an actual threat.