What are the options for developing iPhone apps? Currently I've tried to install gnu kit for Linux without success! Too many steps, and at the and I was unable to compile a single app. The Apple SDK seems to be much more easy, but I don't have a Mac. So am I missing something?
Yes, the Mac. It's probably not worth the effort without the tools. Especially without the emulator. Apple designed the iPhone, it runs a version of OSX, and they have made the tools. It's not even like all you need is the complier because you don't have the tools to debug, load and manage the applications.
Besides the official MAC you have a project at google code that attempts to make a toolchain for Linux and Windows. iphone-dev This link shows you how to build it.
There's another FAQ site that answers many of the base iPhone development questions like this, which I've found useful. So you might want to check out iPhoneDevelopmentFAQ.com
You need a Mac, no question. You also need a iPhone or iPod Touch to develop on as although the emulator is pretty good, it is not perfect - I have example code that works fine in the emulator but fails on the hardware. The hardware also has to be modified to add development keys to it so there is a certain risk to using a real iPhone - many people testify that it's safe enough but myself I chickened and purchase an iPod Touch for development. Keys also have to be installed on your Mac and integrated into XCode - and that's tricky enough to get right even with the standard Apple setup. XCode is free and really quite a decent IDE.
Your minimum requirements are therefore
An Intel Mac running the latest Mac OS. Cheapest option there is a Mac Mini - $599 although you could probably pick up one on ebay that would work just fine for $400 or less.
An iPod Touch (or an iPhone if you need the camera/phone features for your app) - $229
A developer licence from apple so you can get they necessary keys - $99
To emphasise, you absolutely have to test the code on real hardware and the amount of pain you will go though trying to use anything else but a Max and XCode will easily eat the cost of buying an Mac
Check out http://oreilly.com/catalog/9780596155193/ from your local libarary, it says you don't need a Mac, just a jailbroken iPhone/iPodTouch and Linux. I don't know that you can use the SDK to do it, I'm waiting for the 2g jailbreak to even start, but I sure hope I don't need a Mac.