The Open Mobile Alliance published its standard for updating phones, paving the way for your phone to someday be able to update yourself without any supervision—similar to Windows Update. We say "someday", because phone makers don't want to make phones that support this until servers are in place, and service providers don't want to put servers in place until they sell phones that support this.
The other problem is upgrading firmware over the air (OTA) instead of with a USB cable poses its own challenges. Do phones have enough storage to store the download while it's installing? Does the battery have enough juice? Will the user receive a call and interrupt the whole process? Much different in the field than it is in a relatively controlled environment in front of a Windows machine.
In short, it'll be a while before your phone can self-update.
Windows Update for mobile phones? [The Register]