In iOS 5 you can create multiple calendars in the native Calendar app; and you can sync calendars from multiple online services. I sync with GMail (set up as an Exchange account), iCloud, and Yahoo. All can have multiple calendars, though GMail and Yahoo have to be set up on the web site.
Edit: Actually I'm not sure about Yahoo's multiple calendars. I never actually tried to set that one up.
If this is not what you are after, please elaborate. I probably don't know a solution, but someone else might.