Hey Joe,
IOS 4 has a new capability in which it supports multitasking... In essence, several programs can be run at the same time. The advantage is fast switching between applications. The down side is that each application takes a certain amount of memory... Too many programs means a lot of memory being used and very slow performance... To combat this, one must occasionally kill some of the programs.... This can be accomplished by double tapping the "home" bottom. You will notice that a little window opens at the bottom of the screen...
Hold your finger on any one of the applications for a few seconds... You will then notice that all of these icons show a red "X". Simply hit the red x on each of the icons one-by-one. Each program will then be close thereby returning the memory to the pool. This should speed up the phone significantly. I have a 3GS and it was actually faster once I put IOS 4 only phone...
Matt