Currently I've got a fairly close to purely digital GTD setup, although this could do with some refinements and tweaks.

To-Do: I use Things for my to-do list. It supports tags (which can be used to create contexts), an inbox, next actions, projects quick entry of items, and iPhone & iPad support. This currently uses a local network sync to keep devices in sync, but cloud syncing support is coming soon. Other options which can provide similar functionality would include Wunderlist (which is free and cross platform, but lacks tags for easy context creation), OmniFocus (more expensive and Mac only, but industrial strength), Remember The Milk (cross platform, free for some features, monthly fee for premium features) and a host of other applications. If you want a command-line heavy to-do list, todo.txt supports a fair bit of the GTD setup using scripts/apps to modify a plaintext file for todo lists. Droplist Todo is a similar approach of plain text files for lists, but uses Dropbox for syncing, so the transmission of data is encrypted (though still stored on Dropbox servers.)

Calendar: I use a Google Calendar and the Exchange Calendar at work. They both can be synced to my iPhone and other devices, so I'm good to go.

Tickler File: You could implement one using a site like FollowUpThen, which allows you to send an email to a procedurally formatted address, and you'll receive the email back at the given time (e.g. 1day@followupthen.com will return the email a day later, 04july@followupthen.com will return it on July 4th, etc.) You could also build a folder structure to mimic the 43 folders suggested as a tickler file setup.

Capture: This comes down to what you want to capture, and how. The iPhone can record audio files directly, if you are up to processing them regularly. You could also get a Google Voice account, and set it up so that if you call it, it sends you directly to voicemail. Google Voice voicemail can be configured to transcribe voicemail to email (using automated voice transcription, which isn't perfect but is decent) - the upshot is you get an email a short time later with a link to the audio file, as well as a text transcription. Dragon Dictate for the iPhone is free, and also can do voice to text directly on the phone - it requires switching applications though. For capturing text, you could either use an application like PlainText to edit and keep text synced, or an email based system by using tags in the email address (e.g. foo+todo@bar.com sends the email to foo@bar.com, but an email filter can detect the unique to: address and react accordingly.)

Many of these details need to be tweaked based on the platforms and user preferences - if you're using Windows or Linux, some of these apps are irrelevant. Also, I'm assuming that text and voice input are preferred for accessibility, although I could be missing some better method.

Update:

Given that you're looking for iPhone and Windows specific setups, here are some additional comments/thoughts:

To-do: Two of the apps I mentioned (Things & OmniFocus are Mac only.) Toodledo Pro gets closer - you have the full GTD capability, plus encryption for your to-do lists. It also can be controlled from the command line with some tricks, such as its Twitter integration - it does cost ~$15/year though. The Dropbox-based to do apps such as Droplist Todo should work anywhere, as long as you don't mind text editing on some systems. Remember the Milk has the sync and interface options, but doesn't appear to have an encrypted store as far I've seen.

My GTD system is effectively 100 percent electronic--as described in detail here. The only exceptions are my project files, but that's personal preference and driven by the nature of my work.

My tool is Remember the Milk, which has a web app and an iPhone app. One feature I think you'll find valuable is the ability to add tasks, including all relevant metadata, via a single task-entry line, but not through the command-line interface.

There is a way to default to https to encrypt your communication, but it is a cloud-based service.

One way to increase your privacy would be to store your project data locally (say a bunch of text files) and only put tasks in your GTD next action system.