Firstly, if you're still on an outdated firmware, go to iTunes right now and update to the latest firmware 2.2 (5G77).
Next, "jailbreak" your iPhone! If you're wondering what "jailbreaking" is, well essentially it is allowing your iPhone to install 3rd Party applications that you can't get through the App Store, due to various reasons.
Jailbreaking allows you to access the file system on your iPhone, send/receive MMS, improved SMS features, change themes, and also install Linux if you so wish.
To jailbreak, the easiest and most painless way is to go to QuickPWN and download the QuickPWN 2.2 for Windows or Mac.
You get the option of installing Installer and Cydia (both of which I recommend) which allow you to install applications. Installer and Cydia are in essence very similar to Synaptic for Ubuntu.
If you do have problems with jailbreaking you can always restore your iPhone from iTunes. Remember it's never a bad idea to backup your iPhone through iTunes before undertaking this procedure!