If you are running iPhone 3.0 software (released Summer of 2009) or newer, syncing calendar to your iPhone can be done without plugging into your computer.

1. Go to your iPhone settings application.
2. Tap "Mail, Contacts, Calendars".
3. Tap "Add Account".
4. Tap "Other" and then tap "Add CalDAV Account".
5. For the "Server" you can simply type "yahoo"
6. Now type in the Yahoo! username and password you use to signin to your calendar
7. Once you click save, the iPhone will verify your username and password.  
8. Next time you open up your iPhone Calendar you will see a page allowing you to select which Yahoo! Calendar layer you want to view/edit.

NOTE: Once you start syncing your Calendar with your iPhone you will be upgraded to Yahoo! Calendar Beta automatically. You will not be able to go back to the old calendar product once this is complete.