I'm late to the whole sudoku craze but I have bought a few books and lately a tried out a few apps for the iPhone and now iPad.
My favorite is Big Bad Sudoku Book. A straight-up sudoku client though lacking in a few logging features (for now) comes through in ease of playing tools. You can easily add marks (candidates), highlight a number, column, or grid. It makes filling out a puzzle very simple and coming from using a pencil on paper, a joy to use. It also has a hint option to help when you get stuck and will show all available marks to help nudge you in the right direction.
According to the developers, "We are working hard on an update which brings sound, profiles, a career mode, and many more options for puzzles."
The lucky few got it free in April, it is currently $1.99 in iTunes with free updates such as the one mentioned above included. I usually do a sudoku puzzle or two while eating dinner and this is a great way to do them.
More info on Big Bad Sudoku Book