I updated my iPhone yesterday to OS 3.0, no problems so far, the whole process went very smooth. First I had to update iTunes to 8.2, afterwards it asked me immediately if I want to update the iPhone. The download took a short while (my internet connection at home has been a bit slow sometimes in the past few weeks), the updating itself was done within a few minutes.

 All settings were kept, all programs that I started so far are running without any problem, and even my open tabs in Safari were still open

I haven't tested most of the new features yet, saw no need to send a MMS yet, e.g.