I believe Amazon is using SSL (secure socket layer, which is shown as https if you were looking at a web page) connections to transmit data (whether it be by WiFi or cell data). This is one of the big advantages of the iPhone having a real web browser (unlike some other platforms where opera mini etc. use proxies and thus break SSL).
If you weren't using SSL, you may decide to worry about sniffing of WiFi or cell data signals, but your WiFi router is hopefully WPA AES protected with a good, lengthy pseudo-random password, and between the device and the cell, I believe they use some type of medium-level encryption (can't remember) though I've not heard many cases of cell data sniffing.
Bottom-line, with legit SSL you're pretty much as secure as web traffic can be.