Congrats on the iPhone, I'm in Japan too!

First off, in your itunes preferences check off the ringtones box so it'll display that menu. I don't think any songs can be used as ringtones, only the ones you buy specifically for that? I could be wrong. If you have garageband just load up your mp3s and the newest garageband update allows a 'send to itunes as a ringtone' option in the 'share' tab. more at this link:
http://www.tuaw.com/2008/07/08/tuaw-...th-garageband/

I think the wall paper has to do with jailbroken phones? could be worng

Non-net apps: the alarm app is good, phonesaber is near but novelty runs out fast, iPint is pretty neat to show off to your mates. Most of the apps I use require the web, once you get your plan changed definitely get shazam, midomi and twitterific.

hope this helps