My all-time favorite iPhone app, MLB's At Bat [App Store link], is all new for the 2009 baseball season. For the uninitiated, At Bat provides nearly real-time statistics for ongoing games, including scoring, current batter and pitcher, stats, the count at the plate ... even video clips from a game that's in progress.
Late last year they added MLB Gameday for pitch-by-pitch updates, and the full '09 version (when it launches) will extend that with support for Gameday audio. You'll be able to listen to the home or away broadcast of any game. That's great.
For now, you can download At Bat Lite, which includes scores from pre-season games as well as news from throughout the league before opening day. As a baseball fan, I love At Bat. It's worth the $5US price tag many times over.