Do you need Mac OS X to develop iPhone apps?

One near-solution is to run OS X in a Virtual Machine on a Windows platform. You're then developing on XCode on OS X, in a VM on Windows. This way, you don't have to buy a Mac, or dedicate the hardware to a "Hackintosh".

Of course, this may not be legal by the license terms; I'm only speaking about the technical possibility.

Yes, you do need Mac OS X for that. Xcode (SDK) will only work on Mac OS X. However, if the legal part for you is not really important you can install Mac OS X on your normal PC. Just google "Hackintosh".

You don't need an actual Mac, just Mac OSX. If you don't feel like buying a mac than you can get a hold of the image of Mac OSX and install it onto your PC using Virtual Machine software. I use VMWare to run MacOSX from my Windows 7 x64 machine. VM's are a great way to go, the driers can take a bit to setup, but once everything is working it's perfect. VM's even support ethernet so from within the VM you can browse the web, download mac apps. Install things like XCode or GameSalad. I suggest researching how to use Virtual Machines.