This is one of the first questions that a person who bought a Windows Mobile phone ask. To come in their help, I made a list of the most famous sites in the area. Order they are presented is the order in which I recommend you to visit.
It is the largest community of developers and users of Windows Mobile. You can find here applications, skins, ROMs and information for almost all (maybe all) Windows Mobile terminals. All applications are available for free (you can make a donation if you want and appreciate a specific application).
2. Freeware Pocket PC
A collection of free applications for Windows Mobile, organized in categories and easy to use. They released the official application that allows browsing and installing applications on your phone.
3. Marketplace for Mobile
Marketplace Microsoft official site. It was released much later than was the case and the number of applications is quite small. It worth to take a look on the free applications from here, even if XDA and PPC Freeware are much better at this chapter.
These would be the locations for free applications. If you search the net you will find plenty of sites with applications, most clones of the above.
In terms of application money, the situation is slightly complicated and you have two options: either buy them directly from the vendor’s site or try to get them out of money on horses “unofficial”. I recommend the first option!