It's 1980 all over again. We're buying separate spell checking software applications, quitting out of our word processor, and switching over just to check spelling...
They're working on it and will add it in a future update. It's obviously more difficult to implement because they need to find a way to switch between Exchange to gmail, etc.
The keyboard response is a bit laggy on my iPhone 3G w/ 3.0, but then again so are a lot of things with 3.0. Hopefully future updates will smooth things out.