Unsurprising, really. I noticed a slight static build up on my old metal-encased PowerBook G4, so it's not difficult to see why the metallic iPhone cover can also give you a shock after you've been rubbing yourself vigourously (working out, I mean).
There's not really a cure, though discharging yourself before plugging yourself into your iPhone might help. Electric shocks in the ears can't be nice.
(Via ZDNet blogs)