When you jailbreak and unlock, which you can do now, it means that you can't just automatically update when Apple offer a firmware update.
Updating won't brick your phone, but it will usually re-lock it, and if you're here in the UK that would clearly be a bad thing, because only your AT&T SIM would work in the phone, on international roaming rates.
Normally, if iTunes offers a firmware update, you refuse, come to this forum, and be patient until you read that the new firmware jailbreak/unlock has been developed (and then you follow the instructions carefully!)
It's not a big deal, the current firmware is good so if you're stuck on it for the next year, it's not usually a problem. But you'd be surprised how many people post here "help me, I accidentally updated my iPhone"