As you're probably aware, the iPhone is supposed to learn new words as you correct its suggestions--each time you click the 'x' box to reject a spelling suggestion, for instance, the iPhone should be noting that behavior. At some point, it will then stop suggesting an alternative when you type that word again. However, for some people (including me), it seemed this training wasn't working. I was using Notes to do my training, as it seemed like the most logical spot to do a lot of typing.
However, it turns out that that's a very bad spot from which to try to train your iPhone. Ars Technica's Erica Sadun explains why in this entry. Using a jailbroken iPhone, Erica was able to see that the customized dictionary was never updated when she typed new words in Notes. So basically, any attempt to train in Notes would be futile.
She then switched to Mobile Safari, and found that when she entered new words in the Google search box, they were immediately added to the dictionary file. In short, not every app on the iPhone seems to be capable of modifying the custom dictionary, and Notes is one such app. So if you're trying to add words to your iPhone, give the Google search box a try instead, and check out Erica's original post for more gory detail on this 'ducking iPhone' problem.
Mac OS X Hints
http://hints.macworld.com/article.php?story=20090327062818974