I'm still working my way through the SDK, but I thought I'd chime in with a couple issues:Thanks for this Chad, please let me know what else you find.
For security, applications are "sandboxed" meaning they cannot read/write files created by other applications... it is unclear if there is a way to import or export files/data or share them with other applications.
Although the press event Thursday showed that audio frameworks were available (Core Audio, Open AL) they do not (yet!) offer all the features you find in their desktop equivalents (notice how you can load MIDI files into iTunes on a Mac but not onto your iPod/iPhone?).
This isn't OS X on the Mac, but there are still some interesting possibilities. Some advantages over PalmOS but disadvantages too. However this is a beta/"pre-release" SDK, so things can still change!
Thanks to Chad for this initial impression on the iPhone SDK. It makes for interesting reading: