You'd think that, at this point, it'd be relatively easy to watch live TV on your iPhone. Not so! There's no app that'll let you do it, at least not yet. But if you're really interested in this, the Cydle i30 will make it happen.
The Cydle i30 is a digital receiver that you stick on your iPhone to allow it to receive live TV signals. This will allow you to catch over-the-air broadcasts by the major networks as well as some other weirdo stations. Of course, it'd be much cheaper and easier to just download the shows you want to watch and toss them on your phone for later viewing, but if you really, really need to watch a live sporting event or something, this is the only game in town.
There's no pricing or availability info for this guy yet.