I have noticed recently that the iPhone will not try to automatically correct your typing if you capitalize the first letter of the word that you are typing. So if you are typing the name of a road, for instance, it's worth making the effort to capitalize the initial letter, so it doesn't get "corrected" later on.
Note, however, that the iPhone will still correct the capitalized first word of a sentence, as it should be capitalized anyway.
Mac OS X Hints
http://hints.macworld.com/article.php?story=20081216113105311