Go native with iPhone development
Chances are that when the official SDK is released it will need a reasonably virginal xCode setup to work with and I didn't want to mess up my existing system, which I use for regular Mac development. Conveniently, I use VMWare Fusion to run Windows XP under Leopard. It's dead easy to set up - a set of instructions can be found here.
You'll also need the xCode 2.5 Developer Tools disk to extract a file called Archive.pax.gz. This contains important Apple header files that will form part of the toolchain.
It is possible to "get at" this file from Windows, but it's much easier with a Mac. You mount the DMG, go to the \Packages\Packages directory, and when you find MacOSX10.4.Universal.pkg, right-click and choose "Show Package Contents" to drill down further.
You'll also need to install the iPhone root file system as part of the toolchain. Again, this is explained in the weblink. It's easiest doing this via a wireless connection to iPhone where you've installed the sshd daemon.
Installation the iPhone
Assuming you've installed the Cygwin toolchain - or other preferred option - you're ready to try building an iPhone application. Here again, there are plenty of examples around to get you started. The simplest thing is to download the inevitably named "Hello World" project and try building it. An example can be found here.
The exact details will depend on the precise toolchain you're working with. Once you've built the application (in my case by typing "make" from the Cygwin prompt within the project directory) you should end up with a file called Hello that is the actual ARM executable.
If you know much about Mac programming - and you'll certainly need to know something, if you're getting into iPhone development - you'll appreciate that Mac applications are made of bundles. You can find more on this here.
For consistency, you should deploy your application as a bundle. Create a folder called Hello.app and move the executable inside. You'll also need to copy the Info.plist file into the folder. It's important that the CFBundleIdentifier field inside this file is set to the program name, in this case "Hello".