forget you guys who say to be really careful. You can NOT break your phone by jailbreaking it. The absolute WORST you can do to it is have to restore, which isn't even an issue if you back up before you jailbreak it. Not to mention the jailbreaking process is so loving mindless you click a button and watch the program do it itself. Your phone boots up and there's a new Cydia app.
It's worth it. Even if you don't change very much about your phone, it's nice to have the option. Contrary to popular belief, it does not forget you over in any way. If your phone breaks from something covered by the warrantee, there is no way they will know you jailbroke your phone. I've jailbroken every iPhone I've had and I've had 3-4 replaced that were jailbroken. This isn't uncommon. One guy actually fixed it and told me he liked the way I themed it and didn't charge me a penny.