This technique is broken on the iPhone as of iOS4. If I have any updates they will be posted here.

Auto-Play in Mobile Safari Demo

This works by creating a fake link and then dispatching the "click" event thus tricking the browser into thinking the user initiated the video. View source to see it in action, the demo uses jQuery.

See for "User Control of Downloads Over Cellular Networks" in this Apple Developer Center article about the autoplay limitation.