Been asked many times before. A search wouldn't hurt
Apple currently doesn't appear interested in supporting MMS. Im not sure 3rd party developers are allowed to make an MMS app either, or I expect they would be on the app store already by now.
For jailbroken phones however, there is Swirly MMS that you could try. However, not all phone carriers will enable the MMS service, so even with Swirly MMS, you may not have much luck still.
The best thing to do in my opinion, is to let Apple know that you want MMS. It will only take a minute or two of your time.
http://www.apple.com/feedback/iphone.html