Why does my Exchange account work on my iPhone, but not Mail.app?
Most likely because your corporate exchange server is running Microsoft Exchange Server 2003. Snow Leopard now only connects to Exchange 2007 (See http://www.apple.com/macosx/exchange/) whereas Leopard used to connect to Exchange 2003 using the OWA mechanism.

iPhone supports both Exchange 2003, 2007 and 2010 it seems (See iPhone User Guide , page 2);