The backslash () character is nowhere to be found in the latest iPhone software update, 2.1. If anybody knows where Apple moved it, please let me know.
Went to the Apple store and after the first ‘Genius’ couldn’t find it either, a second guy WAS able to. Apparently, it only appears when in the Domain field:
Settings -> Mail, Contacts, Calendars -> Add Account -> Microsoft Exchange -> Domain (then these keys ‘.?123’ -> ‘#+=’ -> the backslash is on the second row from the top, second key).