Not at all
This page has posts & links about the legality of it, from the recent ruling in the US which moved it from being a "grey area" to being 100% legal:
http://www.cableforum.co.uk/board/26...d-page-96.html
I Jailbroke my iPhone 3GS last year, using "Redsn0w", & later did it again using "Blackra1n" after Apple updated the firmware.
I Jailbroke my iPhone 4 this year using "JailBreakMe.com".
Very quick & easy each time, & easy to remove if you don't want it anymore.
There are a lot of Apps out there which, for one reason or another, are not on the App Store & can only be obtained via Jailbreaking. A couple of my favourites are SBSettings (process manager, & swipe toggles for various settings) and IntelliScreen (Lockscreen widgets for Mail, SMS, News, Weather).