You may find it annoying to have to individually mark every email on your iPhone (or iPad) as read. Here is how you can mark all of the messages in your mailbox as read or unread.
1. Launch the Mail app and see your mails (a blue dot means the message is unread)
2. Tap Edit
3. Tap Mark All
4. And select Mark as Read or Mark as Unread
Related: Mac OS X How-to: Setting up your mailboxes on Mail