VLC has, for a long time, been one of the best media players out there. It is open source and can play nearly every format of video available.
A few days ago, an iPhone version of the software was released into the app store. It was originally an app for the iPad and has now migrated to the iPhone. It plays almost every video format out there straight off of your iPhone. It also has the option to delete videos straight from the app.
Sweet! So now you don’t have to spend hours turning that awesome movie into an mp4 just so you can watch it!