iPhone 2.0 supports playback of WAV voicemail – Via TUAW.

This is awesome because it means if your Exchange mailbox is UM-enabled you can get your work voicemails on your phone. That is assuming your Exchange admin has enabled GSM or G.711 encoding for your voicemails. If not, hand them this command:

Set-UMMailbox "paul" -CallAnsweringAudioCodec gsm