There is definitely something wrong (and MikeIPS' explanation that "there is no bug or flaw here" doesn't hold water, there are flags for orientation and they are being mistranslated somewhere in the process)...
1. With iPhone in vertical position I took a picture of a vertical letter size print and it appears vertical on iPhone when viewing.
2. Imported this picture into iPhoto, it appears vertical. Quit iPhoto and opened in Preview it appears vertical.
3. Deleted original from iPhone, dragged imported version from iPhoto folder into my "sync pictures" folder and exported back to iPhone, now it's rotated 90 on the iPhone.
4. Since I never edited or saved photo in either iPhoto or Preview, then it seems likely that the orientation flag is being changed during sync either upon upload or download.
5. Next in Preview I selected image in imported version and copied and pasted into new photo in Preview, uploaded newly created file to iPhone and it is still rotated.
6. Throughout this process, when doing a "Get Info" in Preview, the Orientation flag(s) shows 6. If you "Save As" in Preview to PNG it completely strips orientation info and PNG file uploads with correct vertical orientation. If you "Save As" TIFF it changes the orientation flag to a 1 and it uploads with correct vertical orientation. I stopped at this point because I wasn't doing an exhaustive analysis and only wanted to fix orientation on this one photo.
I should note that the weird orientation has only happened a few times, which lends further credence to the theory that it is happening during transfer. I rarely move photos back and forth, so this isn't a huge issue to me. If I did use this feature extensively, I would use the Automator and create an action that took the batch and in Preview resaved them in a file format that was as nondestructive to the image as possible. Until Apple fixes this issue, at least with the information I have provided you, you have a way to resolve the issue without resorting to having to buy any third party apps.
p.s. If this ever happens to MikeIPS I would suggest he used the Automator as well, but since Vista doesn't have one, it wouldn't do him any good.