Anil linked to PalmOne's new Addit app which I think is awesome. It allows you to view and choose from a list of PalmApps, which you can then download and run immediately or "Over The Air"/OTA. This is an awesome step for the Palm platform, which up until now has always assumed that you would have a PC available to install applications.
Though I wonder how scalable/updateable they are, I like the non-latency and immediacy download-manager apps like this give the mobile user. Sure you can approximate this sort of experience via WAP or XHTML-MP (WAP2), but until the mobile networks are a little faster and the processors on the phones a little more powerful, the lag is just too much for most users.
There are other apps out there like this like Sony Ericsson's Application Shop and Qualcomm's BREW Distribution System. I tried to find more, but I couldn't seem to track them down right now, but I know I'm missing one or two big ones.
Obviously, you can point to the success of i-Mode and Vodafone Live! as examples of web-based download sites. For example, I was just looking at Vindigo 2.0 and the way you need to download it is via the carrier's WAP pages, like AT&T Wireless' mMode pages. However, I personally think that if these carriers had an app like Addit pre-installed on their phones, they'd get a much higher download rate and higher ARPUs. As long as the app didn't suck, I guess. ;-)