When I switched away from Windows Mobile I left behind a lot of functionality, some built in and some via 3rd party apps. Over time Apple has managed to add some of these things to the platform, like cut and paste (duh!) and Bluetooth Stereo support. Gradually 3rd party apps have also appeared to fill in many of the cracks left by my switch. I found another one last night - Air Video.
I used to use TCPMP or BetaPlayer to stream Xvid files from my media server to my PocketPC over WIFI. I gave this up when I switched to the Apple platform. The iPhone won't play anything but mp4 and I'm not about to convert all my vids. Also the iPhone doesn't have any native support for accessing a network share. Now that problem is solved with Air Video. Air Video allows you to stream video in almost any format to the iPhone. Since the iPhone only displays mp4 the video must be converted (transcoded). Luckily Air Video will do that for you - either by queuing up the conversion or by transcoding on the fly.
To use it you need to install a server program on your Mac or PC and point it to the folders you would like to share. The server software uses Bonjour so you don't need to configure any network settings. After it is up and running the iPhone Air Video app will find the local machine automagically. They also claim some support for streaming across the internet, but I haven't tried that. You can also share iTunes playlists.
There are two versions of the app, one pay (2.99) and one free. The free version limits the number of items you can see in a folder, but otherwise behaves the same.
I downloaded the server and app and after a quick setup I was streaming anime in .mkv format to my iPhone. Initially I was not able to see the subtitles, but I found there was a beta version of the server. I installed it and the subtitles appeared.