Well, let's not go that far. Once the download completes, iTunes will immediately start upgrading your iPhone's firmware. Once that process completes--which shouldn't take more than 10 minutes--your iPhone will reboot.

When the iPhone starts back up again, iTunes may choose to immediately back it up. Once that completes, the iPhone will reboot a second time, after which iTunes will briefly attempt to "verify" your iPhone's upgrade.

After all that, the wait will be finally be over: You can unlock your iPhone and start checking out iOS 4. Don't be alarmed if things look a little funny, since the OS will, by default, use your lock-screen wallpaper as your Home screen background, too--assuming that you've got a device that supports that new feature. (You can tweak that in the Settings app.)