I used to have a jailbroken phone. I did it for a few reasons:
1) Install my own apps that I've written
2) Get a video recording app (this was before one came with iOS 4)
3) Copy music and files to the phone wirelessly (or download songs from the web)
However, after jailbreaking the device was less stable and had more frequent problems. I don't recommend jailbreaking unless you're a tinkerer and want to play with the inner workings of the device.