Remember that Siri used to be available for the iPhone 3GS before Apple bought the company. Most of the processing is done server-side.
Is that still the case with Siri in the 4S, or does the phone now do the processing? If it was server-side, Siri wouldn't work without a data connection. That might be OK for a third-party app, but I doubt Apple would be happy with it as a core feature. I bet the processing is now done on the phone.