While all the news about the iPhone jail break being legalized has become old news but add more to it, you can now jail break your iPhone right within a browser by visiting JailbreakMe 2.0. JailbreakMe will let you jail break any iPhone 4, running version 4.0.1 of the iOS, or even previous ones.
One thing that I would like to highlight here is that jailbreaking your iPhone leaves it void of warranty, despite the fact it has been legalized. As for using JailbreakMe, the site offers quite a handful walkthrough to do this and despite the risks involved, many folks I know wont stay away from doing so. The purpose? Simple it lets you have access to the loads of apps which you can otherwise not access.
Other than that, there are a few bugs associated to running this, associated to FaceTime and the MMS feature. However you can follow step by step instructions to fix the issue here.