While there are many mobile app building techniques, very few let you build a mobile app on your device or even online…
Here is a short list of the services:

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App Maker Without Programming ( iGenApps)

How to create an iphone app with SeattleClouds.com http://www.youtube.com/watch?v=CYYR33gQlXA
How does it work? http://www.youtube.com/watch?v=6ZnzWp66jvU&blend=21&ob=5&lr=1
Ways to Embed Media Files in Your App http://seattleclouds.com/embed-media

How to Build an iPhone App that Doesn’t Suck