There are commercial gloves designed to work with touchscreens, but you can achieve the same functionality with your current pair of gloves using a needle and some conductive thread.
The iPhone screen is capacative, meaning that it requires your finger to complete a circuit in order to work. So, by sewing some conductive thread in small patches on the fingers of your gloves (a circle of about 1/4″ or 6mm in diameter is recommended) and larger patches on the inside area of the fingertip, you should be able to use your touchscreen with an acceptable degree of accuracy.
Still, I have to imagine that this modification would be useless on anything other than tight-fitting gloves. The thick gloves that actually keep your hands warm would be far too bulky. [Instructables via Lifehacker]