My understanding is that it is not possible to add or remove apps without hacking the phone.
I'm not sure what you're referring to when you say you can "add apps off the Apple website"? Are you sure you're not thinking of their
Web apps directory? Apple has been cunningly ambiguous about the difference between a 3rd party app and a web app -- it won't be until February next year we'll see apple-sanctioned applications for the iPhone.