After playing about with that, I plugged my 16x2 LCD in too, and after a bit of code playing and experimentation, got this.
This simply reads the current temperature and humidity off of the sensor, stores it in a variable, prints to the LCD, and goes round again. You can get the degrees symbol fairy easily but for now, I haven't bothered. It is currently sitting next to my desk, updating the current info about every 1/2 a second to 1 second.
You can guess the next plan for this sensor... Getting it to data log on the Pi for me ;)
If you want the code and a brief simple wiring guide, grab it off my GitHub here: https://github.com/Jamie-/DHT-Sensor-With-LCD
Jamie