I'm interested in doing the same, but its unclear if it will be possible/free. From the way I see it, you have two options.
The first is that you have your ical setup on your Mac, and you have your phone directly link to your exchange account. The walk-through videos mention in passing that iphone 2.0 will have support for multiple calendars, but did not go into detail. Specifically, it said that separate calendars in iCal would be maintained separately on the iphone. However, it did not make clear if you could use separate calendars when making events on the iphone. In fact, I'm assuming that it would continue to be as it is now- all events made on the iphone are stuck to one calendar, chosen in itunes syncing prefs. This leaves you with a choice- maintain your personal calendar and not be able to accept meeting invites, or not be able to edit your personal calendar on the fly.
The second, which I do currently, is use entourage synced with your exchange account on your mac to sync to ical. This leaves you with a copy of your exchange calendar on your phone. This copy is only updated after you first update your exchange calendar on your mac (just open entourage and let it update) and then syncing your iphone. I haven't been brave enough to try editing events on the phone and seeing if they sync back. This of course has no push updating, however, it may be our only option without paying more. There are tons of threads on this, but it seems that ATT will only permit exchange access on business accounts- an extra $15 per month, which is a deal breaker for me.