Octave Forge is a community project for collaborative development of GNU Octave extensions, called "Octave packages". If you have a large package that you want to open up to collaborative development, or a couple of m-files that you want to contribute to an existing package, Octave Forge is the place to do it. Tiny helper functions (the equivalent of e.g., shell aliases) should go in the Tips and tricks page.
You can find the list of packages on the Octave Forge website. The recommended method for package installation is using your system package manager, see also the FAQ for the most common issues. The official Windows Installer bundles several packages so they don't have to be installed separately.
To install a package from the Octave Forge, at the Octave prompt type
pkg install -forge package_name. This requires an internet connection.
If you use a very old Octave version (< 3.4.0), you'll have to download the package file manually, and use
pkg install package_file_name.tar.gz.