There is more than likley a mistake when you entered your incoming server information. With that said if your settings where wrong you would normally get a message telling you the phone could not get mail from the server. Also check your settings on how long it will take you to receive mail. If all your settings appear ok try this:
Go into settings and turn off 3g
Hold down the home button and sleep button together until the phone goes to the Apple logo.
When the phone restarts see if you get your mail