You can get custom sounds and wallpapers from an app called Zedge, in the market. You can set custom sounds with an app like Whoisit, in the market. Other apps, like 3rd party email clients, 3rd party SMS apps, will let you set custom sounds.....
I made a post regarding this a while ago. If you don't want to use a separate app, you can just load sounds directly onto your SD card. Click the link below to see the folder structure.