You can make ring tones in Garageband right on the iPhone or in Garageband on a Mac and then load them via iTunes. Either way you'll be saving them in a specific ring tone file format.
For Garageband on the iPhone, if you want to use an MP3 song file and create a ring tone from it, it will need to first be loaded to your iPhone through iTunes. You can also just create a ring tone of your own using the Garageband loops and instruments that come with it.
Otherwise, you can buy ring tones from the iTunes store I think.