I have the same problem with an iPhone 2g (first generation of iPhone) which I bought on Ebay for few dollars from China. The phone was working when it arrived, but it was jailbroken and with lots of personal data on it (pictures, contacts, etc.). I decided to try restore it. Ok I did a mistake, I know now, because il was jailbroken. Now the iPhone never ends the startup process when I turn it on, and when put in DFU mode it's does not stay enough to try restore it with iTunes, even selecting the iOS image from the PC.[br]
iTunes tells me it exited DFU mode, even if the phone is still in DFU mode...