A couple of weeks ago I went through Apple's "Your First iPhone Application", which was, no surprise, "Hello World". But I liked the way the accompanying document led me through creating the app step-by-step, because I was unfamiliar with Objective-C, X-Code and the framework. Unfortunately, the link to it is now dead. I think it was pre-Interface Builder, so maybe they decided it wasn't worth continuing with.
There appears to be a replacement: Creating an iPhone Application . Maybe I'll check that out.