For my iPhone 3G I used:
(The Speck links go to the main page cause it is being REALLLLLLLY slow right now.)
Incipio Silicrylic 3G/3GS - This thing was a BEAST!! Rubber skin for the phone, then a plastic shell clamps onto the back of the phone over the rubber. I dropped this thing COUNTLESS times. It finally bit the dust when I dropped the phone and tried to catch it, but instead just chucked it at the ground because I didn't get my hand around it, just kind of punched it. 2 of the plastic corners broke off, but I kept using it till the replacement arrived. This is a BEEFY case, with a relativly low profile. I have seen some cases that are sturdy, but more than DOUBLE the size of the phone. This thing was my favorite. Not positive, but I THINK this came with a screen protector also.
Speck Products - Pixelskin - I love this case also for my 3G, but it is still 2nd to the Silicrylic. This thing keeps the phone with a pretty low profile, but is pretty THICK rubber. Has survived many drops without issue, but I feel more comfortable with the rubber & plastic combo.
For my iPhone 4, I actually have the same 2 cases but updated, and another case I don't like at all. I also have a screen protector which is REALLY nice.
ZAGG - Invisible Shield - I bought this for my iPhone 4 on the first day on the recomendation of an employee at the AT&T store. Now, I paid $29.99 for this, and it is JUST a screen protector, but it is WORTH every FREAKIN penny!!! I got a few nice scratches in my old 3G phone with just a vanilla screen protector, but this is BEEFCAKE. When you apply, it, the back side looks foggy for the first 1 or 2 days, but then clears up as it settles onto the surface of the phone. The front side was a little foggy for the first day, then cleared up, and I don't notice it at all. I have the phone in my pocket with my keys, and I get some nice looking scrathes in the surface of the protector, but they smooth themselves out, and aren't even noticeable if you look for them. It comes with a lifetime replacement should you somehow manage to break it. Check out the demo video, pretty amazing.
Incipio Silicrylic i4 - While this is my favorite case out of the 3 that I have, I don't like it as much as the 3G version. I am guessing they are were going for a lower profile, which they achieved, but it doesn't feel as sturdy. I haven't had any issues with it in the past 3 months that I have had it though. My gripe is that BOTH the rubber AND the plastic are MUCH thinner than the 3G version. I wouldn't mind having it be a bit bulkier. Not positive, but I THINK this came with a screen protector also.
Speck Products - Pixelskin HD - Ok, I bought this case with the assumption that it would be pretty nice like the Pixelskin I had for my 3G, and I was sad with the result. Just like the Incipio case for the 4G, this thing was kind of weak sauce, REALLY thin rubber. I have a 2nd one being shipped to me with the free phone case program Apple had. I am sad that I didn't order the standard pixelskin for the 4, since the Pixelskin HD was the only free one.