Because the iPhone/iPod touch support multi-touch, here's a simple way to temporarily type in all caps: Hold one finger on Shift, and use another finger to type your word -- just as you would with a "real" keyboard.
[robg adds: While this may seem blatantly obvious to those who have adjusted to the world of multi-tap, I took a small survey -- OK, so it was me and the one other iPhone user I could find online at the time -- and discovered that 100% of the respondents hadn't used this method of temporarily typing in caps on their iPhones...so perhaps this will be useful to more than just the two of us.]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20081106081537575