Hi, long time lurker here.
I just want to remind that you can use video out on the iPhone.
I use iPhone (3GS before and now 4) like a mini media center hooked to the tv, and hd content now look FANTASTIC (yes via component cable that despite what apple says look really fine on my tv with hd content, can't really tell the difference with other gadgets connected in hdmi 1:1 and same video).
To tell the true, I can tell the difference even when watching them on the tiny screen.
Yes you can watch fullHD content on iPhone 4 (I have yet to find the max bitrate because so far it has processed all I tried perfectly).
If iTunes says you can't sync because your device cannot play it, chances are it's NOT true.
Try copying the file on Goodreader (even the lite version) or other file management apps.
Works for me, and I'm very glad of it.
The only things I really miss are a HDMI cable and that iTunes would sync everything instead of doing checks and often be wrong.
And native mkv support, but apps are catching up for that.
It's really handy watching a something hd on the go, then arriving home, connecting it to the big screen, and continuing watching.
It's not Plex but I always wondered why apple didn't put more efforts in this.
Works for me at least.