As the mobile computing platform becomes more and more ubiquitous, it is inevitable that we'll start to see malware/spyware/viruses and other nasty things that used to be limited to the realm of PCs start to appear on these devices. It is interesting to me that we are seeing these appear in much the same way that they did when the PC moved from the realm of "geekdom" into the living rooms of suburbia, it's starting with screensaver and wallpaper apps.
So, it is time to start seriously considering using an anti-virus/anti-malware application on your mobile device. There are quite a few to choose from, on the Android platform I am partial to Lookout, and on the iPhone Intego (if you're running a Mac).
Apple will argue that their platform is more secure because they keep their app store "locked down", however a few programs have managed to slip under their radar, so I'm not sure how comfortable one should be with relying solely on Apple to protect your device.
The Android marketplace is more open than Apple's store, however it provides you with a lot of information about what the applications are going to access... if you download a new wallpaper and it is accessing your IM and GPS, maybe you should think twice. While paying attention to what you're installing provides you some protection, there's really no reason not to install a virus scanner on your Android phone, it's free!
So keep in mind that your "cell phone" is no longer just a phone, it's a mobile computing platform that should be just as protected as your laptop or desktop computer. Pay attention to what you're installing and what it has access to, and take the same precautions that you would when installing software on your computer, and you'll be in good shape!