I was surprised to see that I don't really get much junk mail on my iPhone, but then I figured out why. I generally leave my work computer on all the time and Mail is usually running. Since I have junk mail filtering on this computer and it checks for mail more frequently than my iPhone, it moves all the junk mail to the Junk folder. Two of my three email accounts are IMAP, so the iPhone just sees the messages as junk.
I did catch this in action this morning when I woke up I saw that I had 4 emails on my iPhone at 0545. When I came back about half an hour later I only had two messages. I checked on my computer and sure enough there were two emails in my junk folder from just before 0545. I think my iPhone just happened to check the server before one of my computers and then when my computer checked it moved two messages to the junk folder. When my iPhone pinged the servers again, it saw that the emails were now in the junk folders.
In retrospect, this seems obvious, but I'm still stoked that it actually works this way.
My gmail account is the only one that doesn't work like this since it is POP.
kman