With every cell phone that I have owned, they have had a way to put your name on it -- either on the boot up screen or on the main screen (such as with Windows Mobile). But the iPhone doesn't have any way for someone to get the device back to you if it's lost or stolen. Sure, they can go through your phone book and call each contact on that list, but then how would you like getting a call from a stranger claiming to have a cell phone that you may or may not know who it belongs to?
The iPhone lets the user chose a .GIF or .JPG file and use it as your wallpaper (the screen you see when you first turn the iPhone on, and when you're making a call). It's easy to do and can help others (like the police) in getting your iPhone back to you safe and sound. Just add your personal info to any 320x480 image you'd like to use, and then set that as your wallpaper. Read on if you'd like more detailed instructions.
[robg adds: This is a good idea; I've edited Plasma Design's iPhone wallpaper collection to include some contact information. It won't help if the phone is stolen, but if an honest person happens to find it, maybe I'll get it back...]
Here are the step-by-step instructions:
Mac OS X Hints
http://hints.macworld.com/article.php?story=20070722070451574