NBC is launching an app for live streaming of the Olympic games. However, you will need to be a subscriber to either a cable or satellite service. The app is called NBC Olympics Live Extra, and lets you see several hours of streaming video.
Another app, called NBC Olympics offers things like interviews and bios for athletes. The apps are interlinked, so you can launch one through the other.
If you are interested in streaming rather than watching on television, you can check out the apps at the App Store: