On your iPhone, go to Settings > Mail, Contacts, Calendars, tap your MobileMe account and tap "Delete Account", it will ask if you are sure if you want to delete the account from your phone, tap "Delete Account" again and it will remove your MobileMe account from your iPhone (and will also remove all contacts, calendars, e-mails, and bookmarks as well).
From there, just connect your iPhone to iTunes and under the "Info" tab enable synchronization for your contacts, calendars, bookmarks, and whatever else you want synchronized.
Enjoy your iPhone!