While its rare, it's usually stressful situations, that are further compounded by having a phone that can't be reset, that will make you regret having something like a tethered JB phone
I just jail-broke mine with 4.2.1 and while it didn't go as smooth as planned (white Cydia icon, reboot tethered, update Cycia - Cycia crashes on launch - reboot tethered, install Winterboard, won't launch, reboot tethered, finally working as advertised).
..but I'm not sure it's even worth the trouble anymore. I mainly wanted the iBlank application (for which you need the 'no shadows - iBlank theme, which didn't work, to remove shadows only from the iBlank icons)
On top of that, it's tethered, so I can't turn it off. I may just lump it and restore. Definitely not the draw (for me) there used to be to Jailbreak.