The video formats iPhone supports are: .M4V, .MP4, and .MOV;
The audio formats iPhone supports are: AAC, MP3, WAV, and AIFF;
So If you want to put your own videos on your new iPhone and extract audio from videos to iPhone, you need to convert video to the formats that compatible with iPhone. This is a tutorial on how to convert video to iPhone on Mac OS X (Leopard and Snow Leopard).
| * Intel Version | * PowerPC Version |
Step 1: Add Video files
Click the "File > Add Video" button to browse your computer hard disc and add the video files you want to convert to the program.

Step 2: Output Settings
Choose the video file, click "Format" drop-down button, select an output format for selected files in the drop down list that opens. Click "Browse" button in output setting area, select a destination folder in the dialog box that opens, and then click OK.

Step 3: Convert Video to iPhone on Mac OS X
Click "Start" to start the conversion, it will take a little time to finish the process. After that, lunch iTunes, drag and drop the converted mp4 video into iTunes library. Connect your iPhone to your Mac, iTunes will automatically detect the iPhone. And then click "sync", the video will be transferred to your iPhone, that's all.

| * Intel Version | * PowerPC Version |
Releated Guide: How to Convert Video to iPod on Mac?