iTunes was telling me:
over-the-air settings can be changed on your iphoneBut I couldn't find anywhere on my iPhone to change this.
If you cancel your Mobile Me account, make sure to turn off the Mobile Me syncing before deleting the account. I noticed that calendar events were not being updated back and forth between the iPhone and my Mac. Turns out I had deleted the Mobile Me account but iTunes was still relying on Mobile Me to do the work.
If you already removed your account, just add it back as described here. Your contacts will go away but you can then restore them by telling iTunes to copy them to your iPhone.
Cancellation of MobileMe considered harmful. Just don't sign up in the first place and you'll be fine.