From ModMyi - Wiki

The following is a list of the fonts included in the iPhone. They can be found in your iPhone at System/Library/Fonts.

iPhone Fonts

AmericanTypewriter.ttf
AmericanTypewriterBold.ttf
AmericanTypewriterCondensed.ttf
AmericanTypewriterCondensedBold.ttf
AmericanTypewriterCondensedLight.ttf
AmericanTypewriterLight.ttf
Arial.ttf
ArialBold.ttf
ArialBoldItalic.ttf
ArialItalic.ttf
ArialRoundedMTBold.ttf
arialuni.ttf
CourierBoldOblique.ttf
CourierNew.ttf
CourierNewBold.ttf
CourierNewBoldItalic.ttf
CourierNewItalic.ttf
CourierOblique.ttf
DB_LCD_Temp-Black.ttf
Georgia.ttf
GeorgiaBold.ttf
GeorgiaBoldItalic.ttf
GeorgiaItalic.ttf
Helvetica.ttf
HelveticaBold.ttf
HelveticaBoldOblique.ttf
HelveticaOblique.ttf
LockClock.ttf
MarkerFeltThin.ttf
MarkerFeltWide.ttf
PhonepadTwo.ttf
TimesNewRoman.ttf
TimesNewRomanBold.ttf
TimesNewRomanBoldItalic.ttf
TimesNewRomanItalic.ttf
TrebuchetMS.ttf
TrebuchetMSBold.ttf
TrebuchetMSBoldItalic.ttf
TrebuchetMSItalic.ttf
Verdana.ttf
VerdanaBold.ttf
VerdanaBoldItalic.ttf
VerdanaItalic.ttf
Zapfino.ttf

Here's some of the important ones for ya:

Which do What

PhonepadTwo - font used while in phone mode in iPhone
MarkerFelt - font used in Notepad in iPhone
LockClock - font used on the lock screen in iPhone, both "slide to unlock" text and time
Helvetica - font used as system font for the iPhone

If I'm wrong on any of these, feel free to edit it here.