Actually there are a bunch of celebrations. On PS2, you hold down L2 or R2 and press either O,X, square or triangle as you cross the goal line. I don't know how to do it on the other systems. You can punt the ball into the crowd, throw it into the crowd, even dunk it through the goalposts. I turned the penalty for celebration down to the lowest setting so that I wouldn't have to worry about it.
Hold either R2 or L2 + one of the face buttons right as the "Touchdown" message comes up. Watch it though, you'll get penalties for doing it. I've also started making up my own. Last night Addai had a 45 yard TD run and as soon as I broke the line I lateralled the ball behind me. Looked neat on the replay since it looked like he was just saying "hear ya go -- don't need it anymore"
To dunk through the goal posts, hold down R2 and square (or was it triangle--it's one of those). But you have to do it right when you see the "TOUCHDOWN" flash across the screen.
To avoid penalties, just lower the "unsportsmanlike conduct" slider all the way down. After all, the only way you get that penalty is when you do one of the celebration dances.