You can sync Calendar in either of the following ways:
In iTunes, use the iPhone preference panes to sync with iCal or Microsoft Entourage on a Mac, or Microsoft Outlook 2003 or 2007 on a PC when you connect iPhone to your computer. See About Syncing.
In Settings on iPhone, select Calendar in your MobileMe or Microsoft Exchange accounts to sync your calendar information over the air. See Setting Up Accounts.