I have been wondering about the same thing.
I bought an iPhone two weeks ago, and after some days, I realized I got a tingly sensation in my thumb, and now I have become used to alternating fingers. It is most prevalent when scrolling, and it is only a small charge, however enough to be shock me as I am not used to feeling electrical charges.
It does not affect anything else than my finger-tip, and I have thought of returning it, but I don't want to leave it for repairs for three weeks only to be told that nothing is wrong with it.
I read another thread on an other forum about a person with similar experiences, only asking how the screen works, and a commenter almost ridiculed the threadstarter (as here) by telling there could possibly small static electrical charges but no charges from below, as the surface is glass, and thus insulating. He provided a link to howstuffworks about the iPod.
The threadstarter found another article on howstuffworks claiming the surface is conductive, and it works by measuring changes in capacitance.
Question is answered, and I just have to suppress those tingly feelings in my finger-tips, or even remind myself to put it back in my pocket.
The previous threadstarter experienced it on other iPhones and on his own iPhone after sticking protective cover on it, so I think nothing works. I want to try the protective glass cover some day to see if it works for me.