Ya, I actually had the same question. I'm really hesitant of Jailbreaking my iPhone 4 for a couple of reasons.
1. The last time I jailbroke my iPhone 3G, it was working fine until I started downloading apps from the Appstore. Restarted phone and then went into this loop of restarting....
2. I already have what I really want which is Tethering. I jumped on that nice App called Handy Light for .99 cents. But I really do want to download other apps out there but it's just a little too expensive. I know if I jailbreak my iPhone I wouldn't have to worry about that.
Decisions, Decisions..... hmmmmm