If you want collections of puzzles such as Mate in 1 ,Mate in 2, or find the winnining tactic etc.A good idea is to look for PGN files of these types of positions and then use a good PDA chess program that can handle these.Some iphone chess apps have built in PGN capabilities so it is just a matter on copying the PGN file to your device and you will have the positions stored on your device.I have not tested PGN using iphone software but heard that Glaurung app has this ability as well as Chess Genius.The following site has has whole list of books that have being converted to PGN and are free to download.
http://www.gambitchess.com/index2.htm
There is another section of this site with more downloads but those are password protected which I have obtained by submitting a book that has being converted by me.I mainly use PocketFritz4 for viewing these as I have a windows mobile PDA as well.
Some of the books that have been converted will not be suitable as the book will contain whole games, but just keep looking till you come to a nice file that has just positions, and if you are lucky the person has also supplied the winning move or main line.