I just purchased my iPhone last week, and the changes I make on my iMac aren't synching at all via MobileMe, despite attempting ALL of the troubleshooting recommendations at least 2x each! The info is correct in my account "cloud" but not making it to the phone. Very frustrating, I'm now considering other alternatives such as Gmail (why pay for something that isn't working, especially when that one non-working feature is the main reason for purchasing it!).
Soccer, not sure your exact issue, but try doing this:
"I took MM off the phone and then went to my Mac and unchecked the calendar sync, and then added and entry, and then checked it again to sync. Then I went to the phone and readded the MM account on the mail list. Added a calendar entry and boom it all worked.
I now see all my calendars!"
I was having issues too, but it seemed that the removal and unsync and then redoing it worked.