Currently, there are three infection vectors used by mobile malware to infect phones. They are: Bluetooth, MMS messages and MMC card exchange.

A Bluetooth connection allows file transfer if the phone's Bluetooth stack supports OBEX exchange - which most phones do. All mobile phone viruses that are actually in-the-wild (Cabir, CommWarrior) use this infection vector. Sceptics say that infection is very easy to prevent if one simply refuses to accept files sent by Bluetooth from unknown sources - but the truth is that after a refusal the virus immediately requests to be received again, so your only real choices are to accept the virus (and get infected), or turn off the Bluetooth capability of your phone (for which often there isn't enough time between the file sending requests made by the virus), or turn off your mobile phone.

MMS messages can contain not only sound and pictures, they can also carry executables. Some (but not all) mobile phone viruses use this infection vector too - e.g., the viruses from the CommWarrior family. It's easier to refuse an MMS message than it is to refuse a Bluetooth file sending, because the request comes only once. However, the message normally comes from somebody you know, because the virus sends itself to the phones on the infected phone's phonebook - so, you're more likely to open it (and get infected).

Finally, if you insert an infected MMC card into your phone, some programs on it can automatically execute. This infection vector is also used by the CommWarrior virus family.

These are the infection vectors currently in use. If you are asking how a virus can arrive to your phone in theory, then just about any communication channel that can be used to transfer executable content can be used to send a virus. This includes WiFi communications, browsing the Web, syncronizing with an infected PC, and so on. However, currently no known mobile phone viruses uses these methods.