iPhone support is currently only done via a 3:d party software.
It is called RemoteCalendar and is availible through Appstore. Current version 1.0.2 is only supporting read of caldav-calendars, development has now stopped due to Apples announcement below.
Native CalDAVsupport in iPhone is announced in the next major software relase 3.0, which is said to come somewhere around june-july 2009.
More on 3.0 software can be found here