Fortunately, they don't have to. With the SDK, a developer can.
For a fee, of course; SDK-created apps need a digital signature from Apple, and I doubt Apple's just going to
give that away -- they need to keep the riff-raff in check, after all.

Additionally, we don't know yet whether iTunes Store will be the exclusive distribution channel for apps designed for the iPhone/Touch, or whether developers can create their own. Knowing The Steve's desire to control and take a cut of everything he touches, probably the former. (I don't now whether this would violate antitrust laws or not, but it likely won't stop him from trying anyway)
This is one of the primary benefits of jailbreaking: All but one of the apps currently available are free (though many devs gladly accept donations for their hard work).
As to what's available -- there are hundreds of apps, skins and themes available. As has been said, not all are exactly top shelf material, but there are some real gems in there. The ability to completely customize through apps like Summerboard and Customize is a handy feature too, and the ability to organize your springboard through Categories really cleans things up.
The risk, frankly, is nil. Even if you screw it up horrendously, you can always force the device into restore mode and put everything back to a factory-fresh state. The Touch cannot be truly bricked.