I'm not sure the question was about Accounts as I also have the same question. Within one account how do you get multiple mailboxes, i.e. Inbox, Sent, Trash. Can you add others or are they added through the sync process with the PC?
My first gen iPhone doesn't seem to pick up any from a sync but I've seen 'Outbox' appear if the mail doesn't go for some reason. When it does get sent the 'Outbox' disappears.