How do I download stuff directly to my iPhone?

Apple has that on lock down as per the agreement a AT&T as they are supposedly trying to negotiate doing ringtones through the iTunes music store but carriers and labels both are solo greedy as they charge triple the price of a single just because they can...also the reason you can't load your own ringtones even though most other phones do out of the box...just one of the compromises Apple had to make to get the phone out.

FYI you can load ringtones and other data with a hack but this has potential risks (like voiding your warranty and rendering the phone unusable)...but if you want to go that route just search in the plethora of iPhone-relared blogs...

Even if you do something obscenely stupid like load up MobileTerminal and the BSD Subsystem, and do an "rm -Rf /" on your iPhone, all you do is have to hook it back up to your computer and iTunes will restore it back to it's original factory-defaulted goodness.

On another note, if you want to do the whole custom ringtones thing really easily on the iPhone with an easy to use GUI tool, download iFuntastic.

i would recommend iFuntastic as well. It's exactly what you'd want to do something as simple as getting a ringtone on there. It even takes you through the intimidating "jailbreak" process quite quickly and easily. As far as wallpaper goes however, that can be managed easily enough by getting your wallpaper on there as photos and then assigning them as wallpaper once they're on the phone.
One caveat to iFuntastic however, there's no PPC version as of yet if thats at all a concern.
So in essence, no. No sites on the Internet offer direct downloads, but the effect can still be achieved.

I agree with fatalbert on this one