The first thing that one must do in order to develop on the iPhone is get XCode and get it all setup.
Fortunately, this is pretty easy to do. Simply go to
Apple's iPhone Developer Site and create an account. The accounts are free as long as you're not planning to actually put your game/application on the iPhone as yet. There is an iPhone simulator that comes with the Software Development Kit (SDK) so you can test most of your stuff without the need of purchasing a full developer account. However, when you really want to see how things are shaping up on the real unit, you'll want to opt in for at least the $99/year plan.
This may or may not be obvious, but the iPhone Development SDK is only available for the Mac. PC users, sorry. I'm sure there is some way for PC users to develop stuff for the iPhone (google "iphone jailbreak"), but I'm not versed in that. Also, I'm using OS X 10.5.7 (Leopard) and I have installed the latest OS 3.0 version of the SDK for the iPhone.
Side note: I don't actually have an iPhone. I have an iPod Touch. It doesn't really matter though since they both use the same operating system and do pretty much everything akin aside from cellular communications.
So now that you've created your account and gone through all of that fun, login to the portal and scroll down to the downloads section. Select one of the download options (I chose iPhone SDK 3.0 (Leopard)) and sit back and wait. The file is huge so you'll need to be patient.
When I first went through this, I ended up getting some weird checksum error on the iphone_sdk_3.0 dmg file. I redownloaded and then got a "Codec overrun". Basically, the iphone sdk had errors and they weren't going away. Downloading a 2.8Gig (yes, GB) file repeatedly can be annoying. I looked every where on the net and found nothing that helped me solve it. Then I ran through Finder and saw that it had kept all of the various downloads. This meant to me that each time I tried to run the silly thing it was likely running the first one that was damaged during download. I deleted them all and tried the download again. This time it worked fine. Like I said, I'm still a PC-geek at heart and I keep expecting the Mac to act like a PC.
After the download completes (and it's a valid and useful one), you just open it up and install the package. Follow the steps and you should be good-to-go.
There is much more than just installing XCode in order to get started. You need to be familiar with a programming language, such as C/C++ or Ojbective-C, and you need to start learning the iPhone SDK. There are a number of resources for these things and I'll start going over those as the days progress (assuming I can find the time!!).