I work in IT Support and I get asked this question every so often. I'll say the same thing here as I do at work, and at home:

Jailbreaking your iOS device is like running a cracked/hacked copy of Windows on your PC. It may leave you thinking you were clever for doing it, but, it leaves you at the mercy of the person/group that did the hacking. You don't know what backdoors they've left open, and never will. It's like giving a complete stranger a key to your house and car, and expecting either of them to be completely secure.

If you're desperate to try it, do it at your own risk, and don't keep any information in there, such as your iTunes account, birthdays, addresses, names or phone numbers. But as some wise souls already pointed out, it'll invalidate your warranty if you have one, and you'll gain very little in real terms.