SBSettings is ridiculously useful for toggling various settings simply by swiping the status bar, and also for freeing up RAM and killing processes. Safari Download Manager lets you download files from within Safari, which you can then open up with iFile or another file browser application. You can also download email attachments and open them with iFile or similar. Categories lets you sort your icons into folders (CategoriesSB addon highly recommended to make Categories function much better). Backgrounder lets you run 3rd-party apps in the background (useful for Pandora, for instance), and there are several programs that help you switch between apps that are currently backgrounded (Kirikae, ProSwitcher, Multifl0w, etc). The latest trend has been to put stuff on your lockscreen (weather, calendar events, Twitter clients, and others), and there are several apps that do that.
Music Controls does several things for the iPod app and also tons of supported 3rd party apps: puts previous/play/pause/next controls on your status bar, puts album art on the lockscreen and lets you swipe or tap on the lockscreen to go previous/next or pause, and lets you use the controls on your headphones for all supported apps, not just the iPod app. iClassic is a somewhat useless (though entertaining) app that gives you the retro iPod look and clickwheel functionality for playing music. MxTube lets you download videos from Youtube (with selectable quality) for offline viewing.
There are emulators for various systems, but I find the touchscreen controls to be too difficult to use. Thankfully, a homebrew Bluetooth stack is being worked on, and in some emulators (nes4iphone and n64iphone, possibly others) you can link a Wiimote to the iDevice and use that for controls. There's another project going that lets you hook up a Bluetooth keyboard to the iDevice and use that for typing.
QuickScroll adds a scrollbar to most (if not all) apps, activated with a triple tap or two-finger tap or simply by scrolling normally, which is very useful for large pages in Safari.
Of course there's also theming with Winterboard, which is what many people choose to do. I personally prefer the "Glass Orb Color" theme, but there are literally thousands of other themes out there you can choose from. You can also get addons to change the number of rows and columns on your springboard or in your dock.
In short, there's a lot of cool stuff out there.