I'm having this same problem. When I check iTunes it says my Calendars are being pushed from MobileMe. I think that MobileMe is not working as advertised yet.
I'm finding that I have to manually sync my computer with MobileMe. For example, if I create an event on my computer it doesn't automatically sync with MobileMe and hence my iPhone. But if I manually sync MobileMe and my computer, the event will quickly appear on my iPhone. Conversely, if I create an event on my iPhone, it quickly goes to MobileMe, but not my computer. It only shows up on my computer after I manually sync it. Syncing my iPhone with iTunes does not solve the problem.
Hopefully, this will work itself out shortly.