Can't seem to find another solution on the forums, so here's my go at it:

From the Springboard, choose Settings. Tap "Add Account", and choose "Other." Enter the pertinent information.

Click Save. From the "New Account" screen, here's what you'll need.

(Name, Address, and Description should already be populated with what you entered in step one).

INCOMING MAIL SERVER:
Host Name: servername.lunarservers.com --servername should have been given in your lunarpages initial setup email and can also probably be found within cPanel.
User Name: yourname@yourdomain.com
Password: youremailpassword

OUTGOING MAIL SERVER:
Host Name: servername.lunarservers.com
User Name: yourname@yourdomain.com
Password: youremailpassword

Again click "Save" at the top right of the screen.

Click continue through both of the certificate security prompts. It will get you to the famous spinning wheel (which never does retrieve mail).

Click the home button to get out of the Mail app. Again click settings, choose the "Mail, Contacts, Calendars" option. Tap the name of the account that you just set up. Tap the "advanced settings" and turn SSL off (unless someone knows how to keep it activated--I can finally get mail, but not with SSL). If you've set up folders (prior to iPhone setup), you'll probably want to add an IMAP path prefix of "INBOX".

At this point, you should be able to set the Mailbox Behaviors at the top of the screen to match your lunarpages e-mail account settings (in other words, map the Deleted Mailbox to your Trash folder, your Sent Mailbox to Sent, and your Drafts Mailbox to Drafts).

You should not have to change the outgoing server settings. By default, SSL is turned on (port 587 on mine), authentication is set to "Password", etc. I've not had to change these settings, and they're working for me.

Shout if you've got any questions--I'll do what I can to answer them.

I have multiple mailboxes and I cannot get more than 1 mailbox to work, it seems to overwrite the other mailboxes, does anyone know how to set up the iphone to allow access to multiple mailboxes on the same domain?

I found this post because my end-game is to get IMAP working on my iPhone 3G.  I have been using POP3 on Thunderbird on my XP laptop for some time but I want to use IMAP on the phone so that I don't lose messages to the telephonic aether.  Anyway....

I couldn't get IMAP working using these instructions.  I'm on Neptune so I tried "neptune.lunarservers.com" for both inbound and outbound but it's not reachable.  I decided to try in Mail on my Mac desktop thinking that I could just use iTunes to sync the account settings.  I again used the neptune.lunarservers.com address but it didn't work.  I'm told that the server is "not responding."  What gives?

hualon  - i folled the instructions above and same as you, didnt work. I changed the lunarservers references to lunarpages and it seems to be working now.