Apple iOS 4 is an improvement over prior versions of Apple OS for iPhone. It is build as a secure platform from the start. Its main difference over prior versions is in allocation of safe environment for each of the apps running under iOS 4.
iOS 4 is also capable of supporting encrypted network communication which is used to protect information being downloaded or uploaded on your iPhone.
Other notable security features are: parental control, location information blocking, passcode lock.
MobileMe app allows you to find your lost iPhone on a map or help you remove all of the sensetive data on your phone if you are able to locate your iPhone on a map.