Australians have long had the option of buying an iPhone direct from Apple without it being locked to a carrier, but that's only just become a possibility in the US. Given that the US prices are, as ever, much lower than in Australia, is it worth importing an iPhone from the States? The answer: maybe, but it will be quite a bit of hassle.
The 16GB iPhone 4 costs $US649 from Apple in the States, which translates to around $610 Australian. The 32GB model costs $US749, which is just over $700. In Australia, the list prices for those devices are $859 and $999, so there's a significant difference, even when you allow for the extra sales tax that will apply in most US states, and the need to ship the device to Australia.
However, the reality isn't that simple. Apple won't let you order the phone directly from its site and have it shipped to an Australian address. So if you want to acquire a US phone, you'll need to go through eBay or use some kind of freight forwarding service. In both cases, you'll end up paying an additional fee as well as shipping, which could reduce the cost benefit.
You'll also get a phone with a US-specific charger, which means you'll need to buy a separate one if you don't already have an Apple charger around. Add that to the postage and the profit from your forwarding option or eBay seller (unless you persuade a US friend to acquire one for you), and the difference won't be as marked as the initial comparison would suggest. (Plus you won't have much protection under Australian consumer law since you didn't buy the device in Australia.)
My conclusion? If you're going to be in the US anyway and can go to a store yourself, then buying an unlocked iPhone might make sense. But I'm not sure it would be worth the drama and delays otherwise. Would you be tempted?