Stable version
Download: cocos2d-iphone-0.99.4.tar.gz
Release Notes: v0.99.4 release notes
Unstable version
Download: cocos2d-iphone-0.99.5-beta.tar.gz
Release Notes: v0.99.5-beta release notes
Bleeding edge version
Use this command to anonymously check out the latest project source code:
git clone git://github.com/cocos2d/cocos2d-iphone.git develop
Download older versions
Download skeletons / templates
since v0.8.1, cocos2d already comes with an XCode template. Please, read the README to learn how to install the templates.
Older (and deprecated) XCode templates, can be found here: cocos2d XCode templates

i downloaded the new version on my mac and i cant open it, what do i do?
I downloaded Cocos2d but I can’t launch it, what file do I activate to use it?
Do I need the latest version of Xcode?
Do I need the iPhone SDK first?
Yes, you need the SDK: http://developer.apple.com/iphone
Please, use the forum, to ask these kind of questions: http://www.cocos2d-iphone.org/forum