I’ve seen a bunch of people attempt the old way of doing it (press and hold the home button) with no results. Aron Trimble at TUAW explains how it’s done on a OS 3.0 device:
To force quit an unresponsive app all you have to do is press and hold the Sleep/Wake button until you see the red slider. Normally, this is what you would do to power down your iPhone or iPod touch. In this case however, when the slider appears, release the sleep/wake button and then press and hold the Home button. If it works correctly, your iPhone will forcefully quit the unresponsive app and return you to your home screen.