Gizmodo has posted EASY instructions on how to add 3rd party apps for the common person. I actually followed their instructions on my lunch break (it was a risky move;)), and now have a bunch of cool applications on my iPhone. I have the NES emulator with a bunch of games, a version of Finder for the iPhone, an application called Money for expenses, a few different games. I have to give Gizmodo major props for posting such easy instructions, it couldn't be simpler.
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