While not wanting to be a total weenie, ME TOO 😉
After a bit of searching, the best we're going to be able to do right now is use a Proxy Auto-Config (.pac) file. I'm drawn to this conclusion from combining a lot of web searches with a peek at the "iPhone and iPod touch Enterprise Deployment Guide, Second Edition" (available at
http://manuals.info.apple.com/enUS/Enterprise_DeploymentGuide.pdf, or via the Apple iPhone Enterprise support page at
http://www.apple.com/support/iphone/enterprise/.
Setting the PAC file using the iPhone v2.x software is pretty direct - click the little arrow next to the network you want to configure, scroll down to the bottom where the proxy settings live. Choose "Auto" and enter the Auto-config URL.
That's the good news. The bad news is that I'm not entirely sure what that entails w.r.t. using one with the iPhone software. I'm not entirely clever enough to create such a file nor am I clever enough to know how to stick such a file onto my iPhone. I'm going to run this around my local team to see what they can come up with. If they come up with a solution (and it's simple enough for me to do AND explain), then I'll post a follow-up. Until then, good luck to you AND if you figure something out feel free to share with everyone else.
Ron