I've had a few questions about the software I used in my previous screencasts (Tab bars and Navigation bars together and O'Reilly Books Example updated: Show a different image for each book). I created the app using Xcode for the Mac. Xcode is a developer tool, and if you want to develop iPhone apps, you'll need to download both Xcode and the iPhone SDK.
To develop iPhone apps, you'll first need to join the Apple iPhone Developer Program which you can do here: http://developer.apple.com/iphone/. You can view the developer guides and get information about how to program the iPhone without joining, but you can't download the iPhone SDK without joining.
Once you've joined, you can download a package that contains both Xcode and the iPhone SDK in one big package. If you have upgraded to Snow Leopard, you can download the latest version of Xcode, Xcode 3.2, which comes with the iPhone 3.1 SDK. (The numbering is a little confusing because the version numbers are almost the same, but not quite so it's easy to get them confused!). When you download the Snow Leopard package, make sure you install "iPhone SDK" (which is listed with no number next to it in the installer, but it is 3.1).
You can develop apps for the simulator using Xcode and the iPhone SDK. To get an app on the iPhone itself, you'll also have to provision your device. Apple has a series of videos which step you through that process on the developer portal (accessible only if you have joined the iPhone Developer Program). It's not too complicated, but requires following the steps precisely.
I hope this helps you get started developing apps for the iPhone on your Mac.