Well, I decided not to buy MAC for now :) So what about iPhone and its SDK? Fuck it :) I decided to go unofficial SDK and my favorite editor (Eclipse) way.
Well yes I can’t debug, and yes Official iPhone SDK "is much better" so don’t read rest of the post if you don’t want to :)
I'm very lazy person actually, and write tons of command to build application, then fire SFTP client to upload my application to iPhone, and then find application in iPhone to launch it is not for me. So here is "MY" way of doing things - "1 click and enjoy your application on iPhone" way :)
So - my way:
Steps:
And now the fun part :)
At this point you should go to "Cygwin Bash Shell", "cd" to way too long directory, compile application, start your SFTP client, again navigate to way too long directory, upload your compiled application, go to iPhone and start it.
Well - it’s not "My way", "Eclipse way" nor "Windows way" of doing things :)
So here's the magic:
If everything is ok in Eclipse console
you should see how Eclipse (Cygwin, arm-apple-darwin-gcc) builds your project, uploads it to iPhone and runs. Don't forget to add your newly created "Run profile" to favorites and you will be able to build and upload to iPhone in 1 click on 
Still with me? :)
Remember I told I’m very lazy? :) "10.0.0.55" is my iPhones IP at home and "192.168.0.55" at work, so instead of using entire IP you can add only last digits "${project_name} ${project_loc} 55" (I’m using like that). Script extracts your gateway IP and changes last digits to your specified. So if I add only "55" at home IP becomes "10.0.0.55" and at work "192.168.0.55".
Anything I forgot? Any more Cool ideas? Contacts on the right ;)