There are several types of neural networks that are intended to model sequence data; I would say most of these models fit into an equivalence class known as a recurrent neural network, which is generally any neural network model whose connection graph contains a cycle. The cycle in the connection graph can typically be exploited to model some aspect of the past "state" of the network, and different strategies -- for example, Elman/Jordan nets, Echo State Networks, etc. -- have been developed to take advantage of this state information in different ways.
Historically, recurrent nets have been extremely difficult to train effectively. Thanks to lots of recent work in second-order optimization tools for neural networks, along with research from the deep neural networks community, several recent examples of recurrent networks have been developed that show promise in modeling real-world tasks. In my opinion, one of the neatest current examples of such a network is Ilya Sutskever's "Generating text with recurrent neural networks" (ICML 2011), in which a recurrent net is used as a very compact, long-range n-gram character model. (Try the RNN demo on the linked homepage, it's fun.)
As far as I know, recurrent nets have not yet been applied successfully to speech -> phoneme modeling directly, but Alex Graves specifically mentions this task in several of his recent papers. (Actually, it looks like he has a 2013 ICASSP paper on this topic.)