Neat tips and tricks I've found poking around the web:
Turn on character counts in text messaging.
To keep track of text message character counts, go to Settings -> Messages -> Character Count, and flip the switch to "on." When you type a text message, you'll see a character count. The character count started when I got to 30 characters in a quick test.
Make notes, text messages, and address book entries easier to read by making the font bigger.
Change the font in Settings -> General -> Accessibility -> Large Text.
The Accessibility controls have a couple of tricks for everybody, not just disabled people. For example, you can zoom the screen, set mono audio for occasions when you're using only one earbud, and VoiceOver reads your e-mail, texts and e-books to you.
Search Wikipedia and Google using Spotlight.
To get to the Spotlight screen, swipe right from the home screen. From there, type to search the contents of your phone. Scroll down to the bottom of the results to see entries for searching Google and Wikipedia.
Set Bing as your default search engine.
Go to Settings -> Safari -> Search Engine and set your default search engine. Choose between Google, Yahoo, and Bing. Bing is new.
Scroll to the top fast.
In Safari, Mail, Contacts, and many other apps, tap the status bar at the top of the screen — which displays the carrier information, time, and battery level — to scroll quickly to the top.
Lock the screen orientation.
Double-click the Home button to bring up the multitasking interface, then swipe from left to right. Now tap the portrait orientation lock once to turn it on and again to turn it off.
Learn some keyboard tricks.
Tap the space bar twice, and iPhone adds a period and capitalizes the next word.
To enter a number or symbol quickly, touch and hold , then select the key you want. Lifting your finger returns you to the alphabet keyboard.
Touch and hold a letter to reveal a list of special characters.
Scrub through audio and video (Change the speed of the scrub).
When you’re watching a video or listening to music or a podcast, the scrubber bar lets you skip to any point along the timeline. You can adjust the scrub rate from high-speed to fine scrubbing by sliding your finger down as you drag the playhead along the scrubber bar.
Place a call on hold.
On iPhone 4, touch and hold the Mute button to place a call on hold.
Put More Apps in the Dock
The iPhone has always been limited to only 4 Apps in the dock at once. The iPad takes it up to 6. However, now with iOS 4 and folders you could theoretically have up to 48 Apps in the dock for quick access. Granted I don't need 48, but I do need more than 4. So what I did was create a "Productivity" folder and I put it in the dock so that those 12 Apps are accessible to me no matter which Home screen I'm on.
Watch live TV on your iPhone
Not an iOS 4 tip per se, but you can turn your iPhone into TV thanks to the mobile version of the great TVCatchup website. You need to register, but the service is completely free, and even works over 3G as well as Wi-Fi.