Here's a little gem that mostly slipped past the first run-through of the Netflix Mobile application (though one of our our eagle-eyed commenters spotted it - thanks, joeg!): Some movies in Netflix's library offer a trailer preview directly through the app onto your phone.
It's a little hit and miss as to which movies have the preview, so you'll just have to hunt around. But it's a nice feature in what is a very well-put together Windows Mobile application. If you haven't already, go get it here.