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It is normal, don't worry.

My old original iphone would heat up pretty quickly and it ran perfectly fine for almost 2 years (still does, but I just bought a 3GS). It seems to do this when you do anything graphically demanding. After playing a few demanding games on the 3GS, it was noticeably warmer too. There are no fans to cool the phone down, so the phone turns into a heat sink and will get rid of the heat gradually.
 
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