On my iPhone 3GS, how do you mass delete emails?

You don't say which version of the iOS you're using, but...

Tap the EDIT button at the top-right corner of the Mail screen.

Tap the little circles next to all of the messages you wish to delete.

Finally, tap the DELETE button in the lower-left corner of the Mail screen.

You don't. You delete one at a time, once in trash you can then delete all.