Android devices are great unless they’re not. One of the ways they’re not-great is when you don’t have Android Marketplace installed for whatever reason and need to get applications to them for install.
So if you’re looking for a solution to getting files over to your android device in relatively secure style, an SSH server is probably the way to go.
Two of the options that I’ve picked out that that work are:
SSHDroid: A free ad-driven application that allows you to open up a somewhat configurable compile of the Dropbear SSH daemon.
DroidSSHd: this one is ad-free but doesn’t include sFTP support. It also didn’t like SCP running through it, but that may have been due to where it dumped the client in the directory structure. If you’re looking for a clean compile of Dropbear sshd for android, they’ve also got that, along with instructions on how to cross platform compile sshd for android yourself.