So basically you go to the iphone developer site at Apple and sign up for their developer program (its free). Once accepted you can download two things -- the SDK and the Developer videos. The videos take you through the whole process of developing an application, testing it and deploying it. Its a very good series of about 6-7 20minute lessons.

The SDK gives you everything you need for Xcode to develop the apps. All the different APIs for location interface, accelerometer, file system, SQLite, phone/sound interface, etc. Plus it gives you a kickass iPhone simulator to test your program on your intel-based Leopard Mac. Yes, only mac, only Leopard, only Intel.