there are a couple options but best I've found is to keep Stanza installed so you can read epub books. Then you can download direct to your PC then drag and drop into or out of iTunes where you can bring it into Calibre. This way you can download direct to your iPod/iPhone or your PC via Stanza for sites has support it anyway.
It's sort of kludgy and far from transparent but hey this is the great family of devices every just haaaaas to have. Don't get me wrong here, I actually LOVE reading on my Touch and find it more useful every day but the penalty is the system is too locked down for content. It builds "loyalty" via forced-compliance. Jobs seems to have learned his craft at the feet of the IRS where forced compliance is patriotic.
Thought I would add this page from Webscriptions which is where I learned how to use Stanza as a work around for the issue:
http://www.webscription.net/t-iphone.aspx
It actually offers several potential solutions. If I missed anything, sorry, I've only owned my first Apple device, the Touch 4th Gen. since this past Saturday so not even a week yet.