Jailbreaking is a whole mess of fun (first thing I did as soon as I got it home from AT&T), but mainly for themes, and 'hacks', such as some very useful UI tweaks that seem silly until you have a few dozen apps installed on the device. Not too many games on the jailbroken side of things beyond emulation, which I don't use personally. QuickPwn is your friend.

My favorite free game currently is Topple (which was a paid app when it was first released)
Fav paid game is Trism, which is a cool bejewled-esque game, that takes advantage of the rotational function of the iPhone.
UrbanSpoon and AroundMe are good apps for finding food and other stuff.
Silly Apps that I'm very fond of:
Peanut Butter Jelly Time - particularly good for lightening the mood in meetings.
Zippo Lighter - Great for concerts, now that I've quite smoking
I can has Cheezburger - I admit it, lolcats amuse me.
I have a lot of fun with it.
Oh yeah, it's also indispensable for me at work. I have all of my email accounts (2 personal & 2 work-related) set up on it, and navigating between them is a cinch. It plays very nice with exchange servers, so my calendar is always synced. Safari allows me to navigate all my work related websites, including our IT departments trouble ticket interface. I can literally do 95% of my job now without ever having to set foot in my office.
I've used Palm Pilots, & Windows mobile devices in the past, but this is my first proper smartphone, and it will not be replaced anytime soon. It isn't perfect, but it's as close to it as any handheld device I've come across, for my purposes. The only real downside to it, and it does bear mentioning is battery life, running it wide open with wifi 3G/edge, and regularly using the device will suck the power dry rapidly. If you are unable to be near sources of power for long stretches, this phone will probably disappoint you in that regard.