The iPhone OS doesn't recognise the concept of data files, apart from those held within apps themselves.
Also, apps can't talk to each other (non-native, anyway). This makes it impossible to associate an email attachment with a friendly app - i.e. a Word doc with DocumentsToGo.
Who knows if it will ever be possible... Maybe Apple will go down the route of forcing everyone to have a MobileMe account and route files through the iDisk. Can't imagine that thought ever entered their heads!