I live in the Bronx and I DONT EVEN THINK ABOUT THEFT!
The accidental damage IS COVERED BY APPLE'S WARRANTY!
The warranty covers all ACCIDENTS! Just not Phobia's...
I have similar concerns also, don't get me wrong... to lose it on the train or bus or bookstore would be a horror.. but use a little common sense; these are the kinds of purchases you protect even more than, let's say, a razr.
applecare in a couple weeks, i've heard pricing from $69 to $99, 2 year coverage period.
i have also seen some auth cingular retailers offering $100 replacement insurance for the iPhone, although I have no idea how they can do that, since they couldn't actually sell the phones. I'd be leary of that for now.
If you declare it on homeowners, you may be able to get it covered under a specific "computer" or "consumer electronics" clause. really depends on your policy, i'd imagine.