The number of iPhones sold is still unknown, with analysts placing it somewhere between 500,000 and 750,000 units, but considering that there is still no statement from Apple, most are assuming that it's still under the million mark. Interestingly enough, there are reports that AT&T Mobility has fulfilled over 1 million iPhone activations since the device was launched in the US on June 29th.

The number of activations is about as close as you can get to the number of actual iPhones sold. Granted, there might have been a few more activations than actual devices sold, considering that there have been a few reports of iPhones that died or were not working properly and the replacements for those would also count as activations but not as sales, but the number of duds seems to be insignificant.
Currently, neither Apple nor AT&T has confirmed these numbers, but the companies might be holding out for something else.

All the reports regarding the iPhone in Europe mention that Apple is waiting to link the announcement of the first million iPhones sold to the one about the deals they have struck in Europe. Considering the conflicting reports about who Apple will partner with to bring the device across the ocean, it could very well be that instead of waiting for a million iPhones to be sold, Apple is instead delaying this announcement until the situation with the European carriers is worked out.

Considering the fact that AT&T stores ran out of the devices soon after launch and the supplies in the Apple Stores are slowly dwindling away where they are not yet sold out, Apple must be getting close to the magic number. There is of course the possibility that Apple was not anticipating such strong sales and they did not have that many units available for the initial launch, but that is simply ridiculous.