Why use Jailbreak
Jailbreak allows you to add custom themes, icons and application that are not available through official apple app store.Your iphone will will be more powerful with the help of Jailbreak.You can add a number of free applications.
Another advantage of Jailbreak is that you can unlock you iPhone and use any other mobile operator.Here is a JailbreakWizard which tells you whether you can Jailbreak and unlock your iphone, ipod ,ipad or Apple tv.Below is a video which demonstrate the various uses of Cydia
Disadvantages of Jailbreak
Now you know the advantages of Jailbreak.Now question is - Is there any back side of jailbreak.Answer is YES.First and major disadvantage of Jailbreak is that your warranty is void.Apple easily detects a jailbreak and never allow its users to jailbreak their device.
Another disadvantage is if you stuck in the process of Jailbreak than it might take many of your valuable hours to solve the problem.I am saying this with my personal experience :-(
Important points before Jailbreak
1)First check whether you can Jailbreak your device or not.If you are trying to unlock your iphone using Jailbreak than you must check it before proceeding.This guide will help you to know whether your device can be Jailbreak/unlock or not.Click here to Read the Jailbreak/Unlock Guide
2)You must update your itune software to latest version.Older version of itunes cause problem during restore of custom IPSW files.
3)It is better to turn off the windows firewall during the jailbreak process.
4)Only use proper version of software and files for Jailbreak.A list of such software and files is provided in Jailbreak Wizard
If anything goes wrong than you can restore iphone using instructions listed here.