With the iPhone, you need an iTunes account. I don't know if you can set that up on your iPhone. You can go without ever syncing to your desktop. You might need

With the iPhone, you need an iTunes account. I don't know if you can set that up on your iPhone. You can go without ever syncing to your desktop. You might need to sync to the desktop to update the iPhone OS, though. Of course, since your iPhone/iPod/iTouch data isn't in the cloud, you will need to sync to the desktop to backup. Not sure what happens if you sign up for MobileMe.