I've had a few questions this week asking how to read mail on a smartphone and not mark it read in Outlook. The reason the users want to do this is so they don't forget to respond when they are back at the computer and nothing jogs the memory like an unread message, but they don't want to give up the ability to quickly check their email on the phone.
Unfortunately, this is not possible when you use ActiveSync (or BES) to check Exchange server email, as all changes are synced back to the Exchange Server and to Outlook. Using POP3 on the phone might be an option, but it's not a good option as changes won't sync back to the server and it won't include calendar and contacts.
My suggestion: a search folder configured to display new mail from the last day or so. You can review everything that arrived 'today' in the search folder and mark mail unread as needed. A custom view could be used instead of a search folder. The filter will be the same for both: On the Advanced tab of the filter dialog, enter Received on or after Yesterday. Received on Today, or Received on or after 2 days ago will also work.