I decided to test my iPhone 3G on EDGE, 3G, Wifi, and Wifi + VPN using testmyiphone.com.

Here are my results.

EDGE:

3G:

WiFi:

WiFi + VPN:

I don’t really know why using the VPN is slower, but it could have just been a fluke.  I only ran the test once and the first time it said I was getting 80kbps downstream.  Definitely an error there.  Also the site caused my phone to lock up.