A couple months ago, I downloaded a sudoku application onto my iPhone. I wanted something to do during the "in between times" -- while sitting on a train, waiting to meet up with somebody, or riding a parking lot shuttle. I started with the free version, but eventually upgraded to the paid version to avoid daily limits on the number of puzzles.
The app is called "Enjoy Sudoku", and it is really good. It has a hint mode that will give you a hint, you can ask for more info, and then one more time. It will basically walk you through what is going on, and explains the solving technique.
One of those solving techniques is the "Unique Rectangle (type 4)" and is quite handy. I've learned about BUGs, X Wings, and Locked Pairs. Lots of crazy stuff. This little application for the iPhone has taught me quite a bit about solving sudoku puzzles, and I'm continuing to get better at recognizing when a technique can be applied.
If you're looking for sudoku for your iPhone, then Enjoy Sudoku is a great choice.