To your phone. You need to open iTunes, connect your phone using the cable provided (or use wifi sync if you are running IOS5) choose the folders where the pictures are stored and tick the boxes, then click sync.
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Dropbox
(This one requires you to install their own program on your Mac or PC to work. That syncs with the iPhone app. It's nice 'cause their desktop application is just a normal folder...just drag and drop and that's it. It's easy and you don't need to use iTunes.)
Files Pro
Works just like a flash drive. The advantage over Dropbox is that it runs over USB instead of over the internet, so it will always work no matter where you are. This one works through iTunes. Once it's installed, go to the apps page of your iPhone when it's plugged into your computer, scroll down to the bottom, and you can drag stuff to it there.
Stash Pro
Kind of like Files Pro, but a bit smarter. Files Pro is just an empty folder, Stash tries to sort your stuff by file type, though, so you can see 'all photos' or 'all videos' and stuff like that.
And if you don't like any of these, search the app store. There are literally hundreds of others.
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