Just in case it helps anyone, I'll log everything I did to get everything setup the way I like it.
My setup consists of the following:
PC = Windows 7 64-bit
VLC version = 1.1.7 (standalone)
Router = Linksys WRT320N running the DD-WRT v24-sp2 firmware
Phone = Galaxy S Captivate
I simply run "vlc.exe --extraintf=http", and while my phone is connected to the Wifi I am able to stream via rtsp to my phone perfectly.
The fun part was setting up so I could stream over 3G...
First I tried using the PPTP VPN, but it kept dropping connection. Considering how my average 3G speed is only around 120 kbps, the VPN overhead might be too much (especially trying to encrypt/decrypt packets for a live video stream).
What I've done instead is I enabled port forwarding on my router for ports 8080 and 5554. This made it so I could stream just fine over 3G, only problem is that it's not secure! Fortunately with the DD-WRT firmware on my router this could be fixed through the use of customized iptables. I ssh'd into my router and ran the following commands to create the port forwards that would ONLY work when the source ip address was that of my phone:
iptables -t nat -I PREROUTING -p 0 -s {{MY PHONE IP}} -d $(nvram get wan_ipaddr) -j DNAT --to 192.168.1.105
iptables -I FORWARD -p 0 -s {{MY PHONE IP}} -d 192.168.1.105 -j logaccept
(obviously "{{MY PHONE IP}}" was the ip address from my phone, 192.168.1.105 = my pc)
This makes it so that all the requests (udp & tcp) that come from my phone get forwarded to my pc.
At first I tried specifying the ports 8080 and 5554, but then saw that the UPD requests on other random ports were getting dropped (I guess custom routes don't work for auto accepting relatives). I could have alternatively fixed this problem by only allowing the udp packets to be on random ports via the following:
iptables -t nat -I PREROUTING -p tcp -s {{MY PHONE IP}} -d $(nvram get wan_ipaddr) --dport 8080 -j DNAT --to 192.168.1.105:8080
iptables -t nat -I PREROUTING -p tcp -s {{MY PHONE IP}} -d $(nvram get wan_ipaddr) --dport 5554 -j DNAT --to 192.168.1.105:5554
iptables -t nat -I PREROUTING -p udp -s {{MY PHONE IP}} -d $(nvram get wan_ipaddr) -j DNAT --to 192.168.1.105
iptables -I FORWARD -p tcp -s {{MY PHONE IP}} -d 192.168.1.105 --dport 8080 -j logaccept
iptables -I FORWARD -p tcp -s {{MY PHONE IP}} -d 192.168.1.105 --dport 5554 -j logaccept
iptables -I FORWARD -p udp -s {{MY PHONE IP}} -d 192.168.1.105 -j logaccept
... but 2 lines for setting the routes instead of 6 worked for me.
However, I quickly discovered that AT&T is nice enough to change my ip address every time I switch from WiFi to 3G (or just at random times while I am still connected to 3G)... I also quickly discovered that whatsmyip.org tells me that I have a different ip address than the ip address that my router sees when I try connecting to it... makes you wonder what's really happening to your internet traffic? Anyway, I managed to fix that too by creating a small script on my router:
myip=$(netstat -n | grep :22 | grep ESTABLISHED | grep -o '[0-9]\{1,3\}\.[0-9]\{1,3\}\.[0-9]\{1,3\}\.[0-9]\{1,3\}[^:22]' | tail -1)
iptables -t nat -I PREROUTING -p 0 -s $myip -d $(nvram get wan_ipaddr) -j DNAT --to 192.168.1.105
iptables -I FORWARD -p 0 -s $myip -d 192.168.1.105 -j logaccept
I saved that as vlc-setup.sh, then using the ConnectBot app on my phone, I ssh into my router (using rsa-2 private key authentication) and run the script (actually I set it as a new connection, that after authenticating it executes that script and exits). The script basically just finds my phones ip address from the last connection to my ssh port, then adds the routing entries to my iptables to allow my ip address.
I hope that all makes sense to anyone else trying to do the same thing as I was

... Now I just wish that the VLC S&C app could save multiple connections with individual streaming settings.