iTunes to iPhone 4

I recently purchased an iPhone4. As I was setting it up I was attempting to synch my iTunes music content with the iPhone. The application recognized the iPhone and said it was synching my contnet but when I try and find it on the iPhone it does not appear to be there. All the music is checked for synching in iTunes, where is the music supposed to be on the iPhone, is it supposed to be in the iTunes app under "downloads"?