Last year I purchased a nice little iPhone app called MLB At-Bat. (I don't have an iPhone, but I do own an iPod Touch - where it runs just fine).
At-Bat features live box scores for every game in Major League Baseball, "Gameday" (the live pitch-by-pitch presentation you see on MLB.com), and - best of all - video highlights from each and every game.
It was a nice deal for $3-4 bucks - but there was a catch: the app was only good for the 2008 season. Sometime over the winter, it magically turned into "At-Bat Lite" with just the live scores, and no videos.
Now, MLB charges $9.99 for a new app - MLB At-Bat 2009 - with all the features of the old app. They've sweetened the deal by adding live audio for every game. It's quite a bargain; you can listen to every single game (and choose the broadcast from either team's local radio station).
It will only be good for the '09 season, and the iPod version only works if you're near a WiFi signal - but it's a remarkable app nonetheless. Highly recommended.
