Yes, you can develop an app for just your own iPhone. This would require you to be a registered iPhone Developer Program member. To register, you will need to pay $99 to Apple in order to get a valid developer certificate and register your device as a test device. To avoid paying this fee, you can publish your app on iTunes and download onto your own phone, but this would mean that you have to face Apple’s app regulation as all other apps, and your app will be available to everyone.