Everyone I know who has put their name on the priority list either over the phone, or in person, has received an e-mail confirming with the following text:
Your iPhone 4 will be here before you know it. Look for an email from us letting you know it's ready to pick up. When you come in, we'll have Specialists ready to help you set up your iPhone 4 so it's just the way you like it. We look forward to seeing you at the store.
The Apple Retail Store team
Reading on these and other forums it looks like some people are getting a "moving up the list" e-mail and then the notification that it is ready to pick up. Personally I don't know of anyone that has received a "moving up the list" e-mail in the UK, so read into that what you will !!