The R4DS allows you to run various homebrew applications stored on a microSD card. It also allows you to illegally play game ROMs.
The R4 itself works wonderfully, it's very simple, you move the applications onto the microSD card, put the card in the R4, put the R4 in the DS and you're good to go. It includes Moonshell, which is a basic file organizer and media player.
Moonshell as a media player is not great, but does the job. You have to encode videos into a special format using the included tool, then simply go into Moonshell and play it. The main problem is that you cannot jump around in the video.
The other programs are alright. Treasures of Gaia is great as a way to view google maps. DSOrganize is very useful as it basically turns your DS into a simple PDA.