No. Restoring in iTunes will fix your iPhone if anything goes wrong. Do not attempt unlocking or "pwning" yet, as these can break your phone if you don't know what you're doing.
www.ziphone.org will have what you need.
Nooo, don't link people to Zibri's Little Shop of Horrors! If you REALLY want to expose yourself to risks, go to
http://www.ziphone.org. Otherwise stay away.
(Take a look at
https://forums.macrumors.com/posts/5276587/ - its a little ranty on my part, but its gets the information across.)
The General is pretty much right about everything else, though. Jailbreaking alone is fairly harmless, though once it is jailbroken you should be careful about what you install on your device using Installer.app as untrusted apps can potential cause (permanent) damage to your phone. As with any community-driven hacking, you need to be wary about what you do.
If you stay free of unlocking or making any baseband/bootloader changes (i.e. DON'T use ZiPhone), you're pretty safe. Jailbreaking alone is removable with a simple firmware restore through iTunes. I suggest taking a look at tools like iLiberty+ or the newly release Pwnagetool from the Dev Team. Either solution is satisfactory for jailbreaking.
In terms of warranty, since you're a legitimate O2 customer you won't run into the problems that most people trying to claim warranty service yet aren't on an Apple-approved provider (i.e. they unlocked their phones) do. At most you'd want to perform a full restore to the latest available firmware version before bringing it in to an Apple Store since they can still deny you warranty service for simple jailbreak software modifications.
If you've got more specifc questions about risks, then ask away.
