The TryPhone site run by MobileComplete is very nice if you want to check out the menu structure and general user interface of most popular cell phones. It breaks down a bit on more complicated user interfaces with gestures, button double-clicks and shortcuts. It gives you the general idea, but the graphics are a little coarse and something is definitely Lost in Translation compared to an actual iPhone.
They do have some Captivate-esque animated demos, but they seem to be driving the TryPhone simulation rather than playing animated captures or video of the phone. Anyway, check out TryPhone if you're looking at a new mobile for a Christmas gift. Just be aware that the iPhone emulation gives a weak impression of the experience.
Mac users- If you're developing pages to be viewed on iPhone, check out iPhoney from MarketCircle. It is basically a shell around WebKit that acts like the iPhone browser, Mobile Safari. It isn't exactly like iPhone (address bar can't scroll, not multi-touch obviously, and adds scroll bars in many cases were iPhone wouldn't). That said, it is a nice way to get a quick "iPhone Preview" of any site from your laptop or desktop computer. You can even rotate the phone to vertical or horizontal/landscape view.
Tip: I found that I get more "iPhone-like" results with iPhoney by using a custom user-agent. The one below matches exactly what a web server sees my iPhone user agent as, whereas the iPhoney returns a slightly different version. Just use the appropriate menu item to enter the text below as "Custom User Agent".
Mozilla/5.0 (iPhone; U; CPU like Mac OS X; en) AppleWebKit/420.1 (KHTML, like Gecko) Version/3.0 Mobile/3B48b Safari/419.3