Most people will tell you some bullshit about SSH and non-Apple certified apps being great and all, but the truth is that SSH is useless for doing anything but putting ROMs in your emulator folders (it's impossible to play anything but turn-based RPGs with the touchscreen though, and if you don't have a 3GS don't even bother) and getting hacked, and non-Apple certified apps suck just as much.
There are a few useful apps for jailbroken iPhones but they all COST MONEY. Yeah, you jailbreak out of Apple's app store so you can buy shit from the JAILBREAK APPSTORE.
Oh, and EVERYTHING that is free has ads in it. They're everywhere. It's hard to even browse through the jailbreak store apps because there's like 5 giant ads in the descriptions.
The reason for the recent iPhone hacking is because the immensely popular SBSettings app automatically installs SSH, turns it on, and sets a default password and nobody changes it.
The only real reasons to jailbreak are if you like ricing out your iPhone with Winterboard (which kills your battery life) or pirating paid apps.
I only use one jailbroken app: VMCSettings. It changes the volume buttons into track change buttons.