The iPhone Dev Team released a jailbreak for iPhone4 over the weekend, authored by Comex. For a taste of free-ishdom, go to the site with your iPhone and let it do its work.
A jailbreak is simply the ability to run apps and use themes and tweaks not approved by Apple. Jailbreaking doesn't slow down your device or use any extra battery, and is fully reversible (just restore in iTunes). A jailbreak lets your device be how you want it.
It's easy to go back, too. Just plug in your iPhone and revert the system to your latest backup using iTunes.