There are two main ways to do this: either you create a complete iPhone application, written in Objective-C, that gets data from your blog via an API. This can be regular RSS feeds, XML-RPC or a completely custom solution. Be prepared for a lot of development in both Objective-C and PHP (because your API should be secure of course).
The other option is to use or develop a mobile-optimized theme, with extra tricks to get more integration with the device, like GavinR hinted. This is much simpler, but won’t offer everything that a custom application can (no offline access, for example).