In other words, you have a complex system of at least 3 processors interacting, each one with a boot ROM, two with flash memory containing state information. Powering up such a beast is a complex dance of each one waking up, testing its peripherals, checking its own state, then trying to talk to each other, then communicating to bring the entire system into a working state. Furthermore, the necessities of the cellphone system and of testing out such a complex piece of hardware mean that the iPhone must decide, on each power-up, in which of several states it's in: factory testing, just out of the box, activated, reloading the main firmware, working, "plane" mode, and so forth. This is usually done by writing special values to reserved sections of the various flash memories, and of making sure they are always consistent with each other by checksumming and other technical arcana. Should they be found inconsistent, the system will probably try to regress to a simpler state and start over there, in the extreme throwing up its metaphorical hands and plead to be returned to the factory. Ideally, firmware writers strive to make it impossible to "brick", unless an actual hardware defect occurs, of course; in practice, it's rarely possible to envision all possible combinations of what could happen, and too few designers do assume a malicious agency is trying to trip them up at all times.
So, what do these various hacks do to unlock the iPhone? They rely upon bugs in the communications software, firstly, to make the system fall back into a state where it pleads for an external agency to reload its main firmware; cleverly substituted instructions then make it do new things. After several, progressively more complex, phases of this, new applications can be installed.