Currently Being ModeratedJan 28, 2013 3:42 PM (in response to AlexMelo)
You'll have to set it manually for each app in Settings > Notifications > tap the app, scroll down to View on Lock Screen.
See this for more info about notifications -> iOS: Understanding Notifications
Currently Being ModeratedJan 31, 2013 3:13 PM (in response to AlexMelo)
You can take a screenshot of your calendar though by pressing both buttons on the iPhone (home and sleep), then setting it to the desktop image (Settings > Brightness & Wallpapper).
If you want Apple to make that available in some future release, let them know here -> Apple - iPhone - Feedback