Just saw that Apple's iOS 4. 1 update is now available for download and install via iTunes.
If you wish to upgrade, plug in your iPhone, select it in the iTunes sidebar and then click Check for Updates. It is a 300+ MB download.
I am currently installing on my iPhone 3G and will tell how it goes via my Twitter account (douglaswelch) and here, if there are any major issues.
You can find complete info on the update at iOS 4.1 Software Update page