To my knowledge, the dictionaries sold in the iTunes store are stand-alone, and do not interact with any other applications. I could be wrong, as I have not tried any, though.
Stanza does not have dictionary support at this point, but as recently as 16 Jan 2009 posts to their forum state they are working on it. No ETA as far as I have seen.
The eReader software does support dictionaries, though you have to buy one formatted for eReader. I have and it works well enough. Not quite as simple as some integrations I have used, but it is quick and flexible, so hard to complain much.