There's a bug in Safari. When you tap a link that opens and takes you to a new page, the previous page (the one you just left) gets the link loaded as well. When you finish with the new page (close it) and try to get back to the original page, it loads the page you've just left, and the page history is wiped out so you can't go back using the left arrow. I've only had my iPhone a week and I've hit this too many times already. It's a real pain in the ass.
I'd also like it if there were an extra widget on the bottom Safari control bar that I could select before tapping a URL, to force a link to open in a new page. Like doing Command-Click in OSX's Safari. But that's a wish list item