The iPhone's Menu Bar at the bottom of the screen provides a means to access the most common applications across all Home Screens. While Apple's default choice of Phone/Mail/Safari/iPod may may be just fine for you, if you've ever wanted a different layout, you can have it as the four (default) icons can be readily changed to meet your needs.
In my case, having come from a Windows Mobile environment to the iPhone, I missed not having a Calander date readily available on my Home Screen. Since the iPhone has six Home Screens to hold the potential 96 shortcut slots available, one returns to the last Screen open when the Home Button is tapped, but the (default) Calander icon is located on Home Screen #1 and is thus likely to not appear unless directly sought.
By placing the Calander on the Menu Bar I now have the date always viewable (since the Calander icon automatically shows Today's date).
I also wanted the "Settings" App readily available so that I could easily control Wi-Fi access and settings.
You can exchange any of your Home Screen(s) icons with an existing Menu Bar icon as follows.
Tap and hold on any Home Screen icon until the iPhone enters "shimmy & shake" mode with the icons dancing. Then drag/drop the Menu Bar icon you want to remove from the Bar to a Home Screen. This leaves three icons on the Bar.
Then drag/drop the Home Screen icon you want onto the Menu Bar and position it in any of the four slots.
Repeat this for any other icons you wish to change. When done then Tap the Home Button (at the bottom of the iPhone) to exit shimmy/shake mode.