Before you let Steve Job's and his posse firmly place their arm up your back passage here's a few things you should know.

Firstly Apple have effectively fitted the iPhone with a chastity belt, if you want to have your wicked way with it you will have to Jailbreak it first, if you don't the following is a list of things you will have to put up with.

1 - You'll have to pay for custom ringtones and you can only choose from the songs / tones available on iTunes.

2 - If you want to make use of App Store and download apps (even free ones) you will have to setup an iTunes account, you will need a credit / debit card and have at least £1.50 in your account.

3 - If you want to load your own mp3's (not purchased via iTunes) you will still have to install iTunes to do this.

I have only had the phone a short while so  there may be more gotcha's to come.

Update:
It turns out iTunes is lying about No 1. you can use itunes to convert mp3 / Wav files in to AAC then rename the extension to M4R, reimport the file and it will appear as a ringtone.
+1 for it being possible -1 for lying to your customers Apple