iPhone app to apply Instagram like filters to a photo and save to camera roll
In Settings > Instagram you can specify that you want to save the original picture and the picture modified in the photo library.

If you don't want to upload your files in Instagram's server, try Camera+. It's a great app and really worth the 99 cents.

NB: there's also a free Camera Plus app, it's not the same as Camera+ and I haven't tried it.