The picture shown below is from from Boy Genius Report, who claim they received it from an AT&T Store employee dealing with a customer who said their iPhone 4 had spontaneously burst into flames.
According to the story the customer attempted to get help with the iPhone 4 by bringing it into a local store, but it was to far gone to be repaired. The incident occurred while the user was plugging the iPhone 4 into their computer using the Apple USB cable that came with it. The conclusion was that the USB port on the iPhone 4 was probably defective and while the iPhone 4 suffered some damage the cable seems to have been damaged the most.
This isn’t the first time that an iDevice has caught fire, since 2009 there have been a number of reported incidents that included: an iPod Nano recall for faulty batteries (Apple eventually updated the battery warning on that recall) and an iPhone 3G also caught on fire ironically at the same spot as this years iPhone 4 — the USB port. Additionally in 2009 a Mac Laptop went up in flames.
While this could happen based on prior reports about the iPhone 3G and iPod Nano it isn’t likely going to happen to you. However, if you are overly worried about things like this then you might consider keeping a pair of oven mitts and a bucket of water handy just in case.