I know this thread is old but here's the reason why it wouldn't work with the iphone:
"Gizmodo has confirmed this news as well during an interview with folks from Apple, they have mentioned that 1st generation iPod Touch owners and iPhone owners will be unable to use the new software due to a lack of the proper receiver. Apparently Nike+ uses a "proprietary low-power 2.4 GHz radio" and the existing dock-attachment is not compatible with the iPhone. Gizmodo has reported:
"Owners of the first-gen iPod touch, the iPhone and iPhone 3G are locked out, because of the technology required to connect the device to the receiver in your shoe without using the standard dock connector dongle. Apple also said that even if you shove in the dongle to the unsupported devices, nothing will happen"
Source:
http://www.iphonehacks.com/2008/09/nike-ipod-news.html