Development for the iPhone is provided by Apple for Mac OS X exclusively. There are several reasons to do it like that - the most important one would be that iPhone OS Frameworks are all available under Mac OS X.

If you want to play around with iPhone development under Linux or Windows, IBM has published tutorial, you can use the Eclipse C/C++ Development Toolkit (CDT) to program native applications for the iPhone.

But you can not distribute these applications to ìappstoreî. If you are targeting to develop application for the ìJailBreakî crowd, itÃ*s possible to develop on Linux/Windows.

As a conclusion, I can say that it's quite complicated and it is not as fluent as developing on the Mac OS platform (e.g. Simulator is missing).

Reference:

Starting iPhone app development in Linux? - Stack Overflow

IBM Extends iPhone Development to Windows/Linux Programmers

Programming for iPhone using Linux or Windows - Blog of Max Horvath

To begin with iPhone programming "http://developer.apple.com/iphone/library/navigation/GettingStarted.html" will help you.