The iPhone doesn't currently officially support external, third-party applications. This will be possible starting from June, when Apple will open the App Store.

However, quite a lot of 3rd party applications are already available through hacks and an unofficial installer. Although in most cases these are not professional applications, they are mostly free and good enough to be installed on your iPhone to expand its capabilities.

To add the Installer module on your iPhone, you simply need to unlock it with the ZiPhone desktop software, available for Mac OSX and Windows.  

Once the iPhone is unlocked and you have the Installer on board, launch it, and start browsing the various categories of applications. When you find one that sounds interesting to you, just tap "Install" at the top-right corner to install it.