I just received my MS500 this morning and have paired it to my phone (HTC Desire.) Pairing was very straightforward, and the MP3 player output straight to the speaker without any fuss.
Disappointingly, even cranked up to maximum volume, I'll swear that the MS500 isn't quite as loud as the Desire's built-in speaker. Though from the point of view of sound quality, the MS500 wins hands-down. It actually has a decent amount of bass to it, whereas the built-in speaker in the Desire is understandably tinny.
Of course the volume issue could be specific to the model of phone. It may have a particularly loud built-in speaker or it may send a quiet signal via Bluetooth.
For the money, I'm perfectly happy. I plan to hang the speaker in the bathroom so that I can have tunes in the shower while my phone stays safely in another room.