Yesterday a nasty iPhone SMS spoofing hack was detailed by iOS hacker pod2g. Someone with malicious intent could theoretically change the reply-to number in a SMS message without your knowledge. For instance, you could receive a SMS from a number pretending to be your bank. If you replied with a password or other sensitive data, your security would be compromised. The hack also allows for someone to send a completely spoofed message from a random number.
This bug has been on the iPhone for years and is still present in the iOS 6 beta. Apple today released an official statement addressing the issue.