Right now, there isn’t any malware in the wild for iPhones. There’s always chance that some will appear, as recently did for smartphones running Android – An Update on Android Market Security – Official Google Mobile Blog – so be careful to only download Apps from the iPhone Apps store.
There have been some “proof of concept” instances of malware that programmers have developed to demonstrate that it’s possible or to reveal security problems with iPhones, but these haven’t been released in the wild. But it’s always possible that someone may take some of those and turn them into real malware programs that will slip past Apple’s reviewers.
And that’s what got Google in trouble: no review of Apps in the Android Market, because Google doesn’t review Apps at all. Apple does have a system in place, but it may not prove to be perfect. This researcher faults Apple’s review process for their Apps: Researcher warns of risks from rogue iPhone apps | InSecurity Complex – CNET News.
If any malware appears for the iPhone, Apple may very well warn you about it. Apple has also acknowledged the existence of a “kill switch” for Apps on the iPhone and though Apple has never had to use it, they say, they reserve the right to delete dangerous Apps from user’s phones.
Now, this is all provided you haven’t “jailbroken” your phone to run other Apps not signed by Apple and made other mods to your iPhone. There is malware in the wild for jailbroken iPhones; see arstechnica.com – Truly malicious iPhone malware now out in the wild. But if you don’t know what “jailbreaking” an iPhone means and haven’t done that with your iPhone, you don’t need to worry about it.