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.
Thanks!
[UPDATE]
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).