OK, to the people who own a 1st gen iPhone, I understand your disappointment in lack of MMS but I think the post by MrCubes below is the closest/most realistic explanation as to why you've been left out.
To summarize, he says that the MMS spec for EDGE was a mess and it was substantially tightened up for 3G. Apple purchased a complete 3G stack from a third party who specializes in cell phone hardware - so it likely has had the ability to send and receive MMS messages for a while but they had no user interface / lower layer code to support it. What I think MasterNile is getting at is that technically YES - Apple could have supported MMS for 1st gen iPhones but it simply did not make business sense. With the 3G spec, they have to write one module for it and it should work worldwide. With EDGE, the spec was not defined as well and so there are a number of different implementations out in the wild - so they'd have to reinvent the wheel 3, 4, or more different times. That costs real money. No doubt Apple has the talent to do it, it just doesn't make sense (hence why there is a solution in the jailbroken world). On top of that, there's always the chance that one of their implementations isn't perfect and the end-user gets a bad experience from it - which can negatively impact Apple. From a beancounter's perspective, not only did it not cost them money to support it but it provides a handy excuse to get early adopters to upgrade: the proverbial win-win. I think if it was truly as easy as these arm-chair computer engineers on this forum think it is, Apple would have done it.
The lesson to take away from this is if you're an early adopter, be prepared for buyer's remorse. It may not be immediate but eventually you will be left out one way or another. I've never bought anything that has been a first gen - and I absolutely lusted for the iPhone when it was first announced in January 2007. I finally broke down January of this year when my RAZR finally bit the big one and got a 3G and have never looked back.
My advice is to wait for the iPhone Dev Team to jailbreak the 3.0 OS and use one of the many MMS apps out there.