For an effective anti-spam solution for the iPhone you need to have a spam filtering service that filters at the service provider level, not the desktop level. Keep in mind that your iPhone is pulling mail directly from the service provider, so any filtering you have on your desktop is not effective until you dock your iPhone and let it sync with your desktop mail client.
Gmail is an option I have seen many references to as being a good spam filtering alternative. Another option, and this is a better option for businesses, is to use a 3rd party spam filtering service. My company does provide this service and if anyone is interested in trying the service out for a 30 day trial, I'd be happy to set you up free of charge. You do need to have your own domain name, but the service is extremely effective and affordable. It's not free like Gmail, but I think our service is more catered towards businesses.
If interested and you would like to learn more, please visit my website at
http://www.bigmountaindesign.com . Our contact information is there and I'd be happy to talk to anyone personally about spam filtering, our email services and how it functions with the iPhone. Thanks!
Jon