Yes, providing they’re in QuickTime H.264 format. YouTube provides this through their iPhone/iPod touch widget, most QuickTime trailers work, and now the BBC’s iPlayer works fine too.

Of course I’m, strictly speaking, referring to videos that start playing after a part of the file has downloaded, rather than the ‘live feed’ kind of streaming. There might be a way that’s possible through Safari mobile, but I’ve not seen it. Flash doesn’t run on the ‘OS X touch’ platform, so any site that relies on that won’t work.