Further to the above, if you have your media on a DNLA compatible server or NAS (as I do), there are several DNLA compatible media players on the iphone.
I haven't tried any of them, but the one at
http://itunes.apple.com/us/app/media...335036887?mt=8 seems to have the best reviews. In the UK, it's currently £0.59 for the audio version and £4.99 for the version that can play video as well.