Hmm, I couldn't find a rotation lock and I've got the 3GS, weird.
It's only ringtones you can change, SMS tones are limited to the stock 6, which in a large office is silly. If you have an official Apple link for how to change the 'new sms alert' tone, send it through.
Forgot another one, SBSettings. I swipe the top of the screen and lots of function commands appear (rotating lock, autolock, airplane mode, etc). Makes it really easy to change things while in an app and not having to get exit, then go in to the settings section.
Its under the multitasking options, Just doubletap the homebutton and scroll all the way to the left.