The iPhone has a viewer which will display a number of known formats when you open an attachment. If it doesn’t recognise the format, then then you will just see the name of the file, but you won’t be able to download it.
The formats that are supported by iOS5 are:
Microsoft Office – *.doc; *.docx; *.ppt; *.pptx; *.xls; *.xlsx; *.vcf
Adobe Reader *.pdf
Text Files – *.txt; *.rtf
Web Pages – *.html; *.htm
Are there other formats you have found are supported?