Can I watch a video on my Mac but have the audio go through my iPhone?
Yes, you can do it.

You need to be on the same WiFi network and use a pair of matched applications on your Mac and iPhone.

The best known of these are Airfoil (for the Mac) and Airfoil Speakers Touch on your iPhone. See this: http://rogueamoeba.com/airfoil/

Note that Airfoil Speakers Touch does not turn your iPhone into Airplay speakers so you can only stream to it from a computer running Airfoil and not, for example, your iPad.