haven't tried, but audio can definitely go out through the headphone jack or through the dock, and i would expect the ipod's video cables to work equally well with the iphone. however, the iphone dock does not offer s-video out like the ipod docks do, so i can't be sure.
why would you want to send the video out when you can watch it on the iphones beautiful display anyways?
Actually, I think I read that Jobs' presentation was a camera on his iPhone, and then a pre-canned demo that he kept up with, so it might not be video-out at all. You would think that a software update could give us video-out, though.