I am in two minds about the need for multitasking on the iPhone. I can see that it would be useful for applications such as music streamers such as the one for LastFM or Spotify (personally I prefer LastFM), but having multiple GUI programs running on a machine as small (in terms of hardware resources) as the iPhone could be problematic.
It could also make the iPhone less stable.
But there is a demand for running lightweight background tasks in a way with a only a small risk of interfering with the currently running GUI application.
It would be easy to allow too – just allow the iPhone application to fork a helper daemon with some means of controlling it. After all under that pretty skin, the iPhone is just an computer running OSX as anyone who has jailbroken it has probably found out.