Eh... sort of. There is the on-the-go playlist, but it isn't very convenient as when you chose this playlist and add a song, you just got a list of every song on your iPhone to choose from.
Another round-about way is using smart playlists which will update themselves on the iPhone. For example, I have a playlist for all the songs I have synced that are not yet rated - as I rate them the playlist gets smaller and smaller. This could also work for properties like last played, # of times skipped, etc.
Other than that, you are SOL.