I've always wished they had something like this for the WiFi as well. That way, to turn WiFi on and off, you could just tap an icon on the home screen rather than having to go through the menus. Sorry, back on topic...
It's a heavyhanded solution, but if you jailbreak your phone, there are a bunch of utility apps that add shortcuts to options in the control panel. Apple won't allow those apps in the real app store though.