When I went last may I kept mine in my polyurethane case in my pocket and it was fine. If I went on a ride with inversions I'd generally tuck it into my cargo pockets and button them shut to be on the safe side (ya know...even though centrifugal force says otherwise...)
A few iphone safety tips:
1.) Never buy a hard case - they don't absorb shocks in the same way. Often they'll blow apart and separate from the phone on the first hit on the ground, then the glass shatters when they hit the second time. Softer cases will disperse the force of the impact around and away from the impact point, while not falling off.
2.) Your case should cover the screen - I don't mean obscure it, just extend past the face of the phone so that the glass does not come into contact with any surface it rests on. Those "slim" shell cases that sit flush with the front are terrible...if your phone falls you have about a 50-50 shot of it not hitting the glass, and we all know if you flip a coin enough times it'll eventually come up tails...
3.) "Tacky" feeling cases are always better than smooth shiny ones. Sure, the smooth one makes it easier to pull out of your pocket, but it makes it easier for it to fall out of your pocket as well!
4.) It doesn't have to be expensive, it just has to fit! I've had my iPhone 4 since the day before they were officially released and I've had a 3 dollar eBay case (direct from China!) this whole time. I've dropped my phone numerous times onto concrete, tile, asphalt, and hardwood and my cheap ebay case has protected it every single time. Heck, I've never even scratched it in almost 2 years (no screen protector either).
Just use common sense, a decent case, and don't try to record Rock n' Roller Coaster with your phone held out in your hand and you'll be fine.
Seriously it'd fall right out.
