Connect an iPhone to OpenVPN
I have it working on a jailbroken iPhone 3.x. Detailed instructions can be found at http://chandraonline.net/blog/?p=22.
As of the latest iPhone OS release (3.0) this is not possible. I am unsure if someone could create an 'all in one' client that connects to OpenVPN and then allows you to browse the web from within the same app.
But certainly any app that connected to OpenVPN could not then be put into the background allowing you to use the built in Mobile Safari or Mobile Mail over the VPN.
I've looked into this and unfortunately it's not possible, and it's unlikely to happen any time soon. While it's relatively easy to write the software for the iPhone, the problem is that it needs a tap/tun interface to create the OpenVPN tunnel, which is not present in the iPhone currently.
There seems to be a solution for jailbroken iPhones here: http://code.gerade.org/tunemu/
I haven't tested it though.
OpenVPN.net finally released an official client for iOS: