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 was introduced with software relase 3.0 in july 2009.
A first try to connect iphone OS 3.0 to davical was, unfortunately, negative. Connection and authentication is done and the calendar is identified correctly by its name. However, events are not displayed at all. A test with a fresh calendar has shown that a new event added in the iphone is transported to DaviCal and stored there.
More on 3.0 software can be found here