well there is lots of things to learn about jailbreaking lots of pros and cons. ive been doing it for years since 2007 iphone but with the iphone 4 i wont be jailbreaking.
Jailbreak iPhone | iPhone News, Help and Guides some of those features are already added officially but it gives you an idea of what extra you can do. it opens the iphones wings you install cydia and with that comes a load of apps apple are too stupid or stubborn to allow in the app store. a few apps like ssh and the ability to customise your iphone a lot more and change sms tone or using vlc player and emulators and free tethering and this and that im sure some one can tell you some good apps. like changing boot logo, also the ability to change the partition size. atm your iphone has a partition one for the os and the other for your files from itunes or your pc/mac you can change the default size if you want you can install android if you want. the pros are endless with few cons.
a few cons like every new firmware you need to wait for jailbreak to install those cydia/rock apps cydia and rock is basically jailbreak versions of app store, though apple got the idea for app store from the original installer that used to come from jailbreaking in 1.XX firmware. anyway every new firmware you wait and on top of that the apps most of them stop working with every new firmware so you have to wait for them to be ported, and some times they dont get ported. lately jailbreak apps people are starting to charge money. now i believe all cydia apps should be FREE if i wanted to pay i would stick with app store.. well i do pay and i do use app store but my point is cydia should be all about the free apps i mean charging for themes??!?! wtfrig has cydia come to.
you void the warranty when you jailbreak even though its legal now, but if you need to take it to apple you just restore and you lose the jailbreak. so its ok.
all in all i think jailbreaking on the iphone 4 is best give a miss. so far people who have done have had endless problems such as freezing of their iphones or problems with facetime and you have to download fixes.. it sounds all like too much hassle to me, and though i never personally had a problem with jailbreak, the iphone 4 brings so much features that you have less reason to jailbreak.
i guess you should decide for yourself though, have a read of the article have a look in the "hacking" section and you will find lots of info.