This is actually a real pain in the arse non-feature:
"One drawback: While you can have both personal and Exchange email accounts on the new iPhone, if you synchronize with Exchange calendars and contacts, your personal calendar and contacts are erased."
At work, we use Exchange (although we’re a mostly-Mac shop… corporate head-office standards, I think). I’m a MobileMe subscriber for my personal email etc. I’d very much like to keep my work and personal calendars seperate…
So Apple, please fix this one in iPhone 2.01.