If you haven't taken the leap to install 3rd party apps onto the iPhone, David Pogue shows how easy it is in a video on the NYTimes.
He demonstrates the easy to use Installer.app as well as a number of fun applications that have been released for the iPhone.
Unfortunately, these applications are only available for iPhone firmware versions 1.0, 1.0.1 and 1.0.2. iPhone 1.1.1 breaks compatibility with 3rd party applications at this time.