It is completely legal to jailbreak it. You'll only brick it if you don't follow instructions. Jailbreaking allows for homebrew and further customization that Apple confines with their generic iOS and whatnot. It's useful for various things, outside of the illegal activities you could do with a jailbroken ipod.
If you're after such things, it's worth it. Otherwise, I don't see what point you would have for it. If I had one, I'd do it.
apparently jailbreaking makes it run slower.
From what I understand, no it doesn't. Using programs that were not designed to run with the Ipod, such as multi-tasking programs/apps, perhaps.