One of the coolest features of iOS4 is the capability to use Folders, even on the 3G! This is great method of grouping your common applications/games/utilities into separate folders.
To create a folder, simply choose an icon and hold it lightly until it starts wiggling. Then drag and drop it onto another icon that you wish to group it with. It is smart enough to identify the type of folder name it should call itself.
To remove applications from a folder, just open the folder, start wiggling your icons again and drag them from your folder.