This is a quite awkward bug from Android. Actually, I could not believe there was such an obvious issue to change time zone...
When you change the timezone of your phone, the time displayed when you start your mobile and the time on the upper right corner of your home should display the new time correctly (I even had problems with that but a restart of the phone fixed it and it may have been fixed in 2.3 as I did not manage to reproduce the issue).
HOWEVER the main clock on your home page will still show the previous time no matter what ! You can try whatever settings you want, it will not change !
The solution ? Very ugly for people travelling a lot but well, not my fault... you need to remove the clock widget and add it again. Click on the clock for a long time (2-3 seconds) and move it to the bin (should be on the lower part of the screen). Then go to "Personalize" (there sould be a link per default), then "Widget", then "Clock". Choose the Clock you want (the default one takes a lot of space on the screen in my opinion) and the "new" Clock should display the time in your timezone... Problem "solved".