Page 122 of the manual:
"Uploading Photos and Videos to Your Computer
You can upload the photos and videos you take with Camera to photo applications on
your computer, such as iPhoto on a Mac.
Upload photos and videos to your computer: Connect iPhone to your computer.
Ă‚ Mac: Select the photos and videos you want and click the Import or Download
button in iPhoto or other supported photo application on your computer.
Ă‚ PC: Follow the instructions that came with your photo application.
If you delete the photos and videos from iPhone when you upload them to your
computer, they’re removed from the Camera Roll album. You can use the iTunes
Photos settings pane to sync photos and videos (videos can be sync with Macs only)
to the Photos application on iPhone. See “iPhone Settings Panes in iTunes” on page 55."
http://manuals.info.apple.com/enUS/iPhone_iOS4_UserGuide.pdf