I have the same problem for more than one year now and it drives me nuts.
In Outlook 2007 all appointments (including appointments that take place in different time zones) are shown accurately. However, after syncing with the iPhone (iPhone OS 3.1.2 and iTunes 9.0.2) some of the appointments that take place in a different time zone are either not shown or are shown with a wrong time on the iPhone.
Example:
Outlook:
Event 1, Monday 2pm
Event 2, Tuesday 2pm --> This is the recurring event in a different time zone
Event 3, Wednesday 2pm
After syncing to the iPhone (via iTunes):
Event 1, Monday 2pm
Event 2, Tuesday 8pm --> ???
Event 3, Wednesday 2pm
Both time zones, on my PC and on the iPhone are equal. I know this problem for more than one year now. Recently I have created a developer account to report this issue to Apple. Unfortunately Apple wasn´t interested in my bug report via email and asked me to create a developer account to report the bug.