Sorry, that's a feature Apple considers "advanced". What I did is I set all my email accounts to use IMAP. If I ever fall behind and wind up with 3 or 4 hundred emails marked unread, I go in a web browser and mark them read and the next time I open email on the phone they get marked read. There is a "mark all read" app you can get from Cydia if you want to jailbreak. To me it's not worth jailbreaking for such a minor feature. Of course there's other things... tethering... But I'm on At&t with the lowest tier data and tethering would be like giving a huge fat overage check to At&t so again I don't bother with jb.
I came from a BB 8830 to iPhone 4. I must admit BB does email a lot better than iPhone. OTOH, I remember changing email account setup on my BB and having all the events I had created under the old email suddenly not synced any more and there was no way (on OS 188.8.131.52 and even 4.5) to change them to be linked to the new active email account. And don't get me started on the ugly sync process with my Mac. I have subscribed to Mobile Me for years now and when I picked up my iPhone, I had all my stuff on it before I even left the Apple store.
I went to the VZW order page to get one for my wife and it says if I have it shipped I have to hook it to a computer the first time. How quaint. At least at the Apple store they get the thing fired up and making calls for you before you leave and the only reason to ever hook it to a computer is to back it up and "transfer purchases" so apps I bought are saved on my Mac if my phone ever dies.