Some applications are not able to be saved to your SD card. You can always check to see if the application you want saved to your SD card can be saved, you can follow these steps. Go to home screen, menu, settings, applications, manage applications, tap on the application that you want to save to SD card and see if it gives you the option to move to SD card.
Agreed -- as stated, not all apps can be moved, but for ones that can, you can do what's stated above. Also, you can download apps from the market that will help you with that. I have App 2 SD Free and SDMove, which make it a bit easier to find which apps can be moved to the SD card and to move them there. You might check them, or any other similar apps, out to see if they help.