Mine doesn't show it in contacts but it could be either that I am on 3.1 beta or that my contacts are all from mobile me which is set up differently than them being only on the phone. Look under settings> phone> and you should see 'My number xxx-xxx-xxxx'
Update: RossMc is right, if you look in your phone app contacts you should see it. I was referring to the contacts app.
Once you click on your phone icon, then click the contacts tab...you will need to pull it down to see your number. Mine doesn't start with it on screen, it's hidden until I pull the contacts list down.