Become a MacRumors Supporter for $50/year with no ads, ability to filter front page stories, and private forums.
Actually you can view the sent and received SMS messages online if you have an AT&T MyWireless account (registration is free). MyWireless is a online account management system for AT&T. You can view that report by selecting View Full Bill. The contents of the message will not be there but the date, recipient/sender, time sent, time received and type of message (i.e. Multimedia Message [MMS] or Text Message [SMS/Short Message Service]). Hope this helps!

DPA
 
I don't live in the US, and I would like to have instant delivery report for SMS. Thx.
 
if your iphone is jailbroken there is an app in Cydia called "iPhoneDelivery" which allows delivery reports.
 
Register on MacRumors! This sidebar will go away, and you'll see fewer ads.