The 2.x software on the iPhone has a vulnerability that allows you to get saved information off the iPhone, even when it is locked. While this security hole will probably be patched soon, you'll be able to use it for a while on all iPhones. And even after the patch, there are people who don't update.

With the locked iPhone in hand, slide the slider to unlock the iPhone. When you get the keypad to enter the unlock code, hit the "Emergency Call" button once and then hit the Home button (the actual one button on the phone itself) twice.

This will put you in the favorites section of the Address book. From here you can scan their favorite people. You can also click on the blue arrows next to the names to get the full contact information.

Find a contact with an email address. Then click on the email address. You now have full access to the email application on the iPhone.

Find a contact with a web URL address entered, then click on the URL. You now have full access to Safari.

Find a contact with an IM address and click "Send Text Message", you now have full access to all of their SMS messages.