I lost my iPhone 4 after 12 days. Fell out of my pocket in a cab. I didn't install mobile me beforehand, but I was insured by AMEX platinum so I got my $199 back at least.
The problem is if you lost your phone is that you are still stuck with the 2 year contract for nothing. I tried to call AT&T many times about this and they still won't cancel my contract even though it's within the 30-day return period. The problem is they told me that if I buy another iphone, that's another contract and they won't cancel the first one. So if you need to cancel service for any reason within the next two years, that's TWO early termination fees you gotta pay ($750 - ouch).
Watch out for this!