Cydia (Jailbroken) Apps:
Blackbook - call blocker, text blocker filter app ($10)
Frash (Flash for iPhone) - Free through Cydia
Winterboard - themes for iPhone. useful and free.
backgrounder - allows multi-tasking on iPhone 2g and 3g.
regular iphone apps:
thats all I can think of. once I find my iphone I will post more.
Tweetdeck - allows you to post for facebook and twitter. best app and free
YouMail - visual voicemail, better than standard shit.
YouTube - best app above all other phone platforms. loads fast.
WinAmp - can sync your music with desktop wirelessly. love this! - free
The rest is all Sense UI stuff with HTC. Its very customizable, probably easier to get used to than the iPhone.
google maps - free gps, and 3d rendering maps. amazing shit.
google voice. best integration of it for any phone. must have
gmail - best useful tool is the email. separates your emails by color coding system.