The MemoPad is a great place to store notes that don't really belong anyplace else, such as driving directions, recipes, and more.
The Alarm application is better than a normal alarm clock, and it travels well.
The Calculator can take a bit of getting used to, but considering you always have it with you, it's definitely worth getting to know. Its conversion functions can be a great timesaver if you need them.
Password Keeper is a great new feature in the 4.0 system software.
BrickBreaker is a fun game that you can use to pass the time.