Twonky media, who make the very good Twonky DLNA server for PCs, have released a Twonky Server app for Android, this should allow you to share content (videos, music, pictures) that are stored on your phone to network attached DLNA compatible devices on your network (eg Windows Media Player on Windows 7, XBox 360, PS3, specialised set-top boxes, some new TVs).
Also, I don't know if it's carrier specific but my Samsung Galaxy S came with the AllShare app (which I haven't used yet) that claims to be a DLNA server and client. Can't find it in the Market, so I assume its Samsung only.