I have bought several screen protectors.  The power support crystal film for iPhone 3G/3GS and antiglare film from AT&T store are both very good.  The antiglare film from AT&T store has three layers.  First, you remove the back film to expose the adhesive side by grabbing the sticker and peeling back. Then you position the film on the iPhone and slowly work the way from one side to the other by avoiding bubbles.  Finally you take off the 3rd sheet of films from the outside.  But this film will make the iPhone screen darker and harder to see the smaller print.  If you read a lot on the iPhone, I would not recommend to use this antiglare film.

The clear film from power support has two layers.  You put on the film in the similar way as above but there is no top layer to remove.  This film is a hair smaller than the screen.  When applied properly, this film looks just like the original screen.