Wirelessly connecting to other phones to transfer data and media (see post #2 and 4), sharing the phone's 3G connection with other computers (tethering), and playing music through a Bluetooh-enabled sound system.
It doesn't work that way. You can't connect to another iPhone through the Settings app. You'll need to use a third party app like Bump. There are limitations on the types of files you can transfer if the phone is stock.
If your phone is jailbroken, you can connect directly to the other iPhone with the iFile app (available in Cydia) and there won't be any limitations with the types of files that you can transfer.
I have the Bose Bluetooth Series 2 and works great! My roommate uses his with the iPhone 4 and I use mine with the 4S and woks and feels great! GPS, radio, any app I have tried, we are very happy with it. I decided to mention about it in case other people haven't tried it yet : )