Become a MacRumors Supporter for $50/year with no ads, ability to filter front page stories, and private forums.
Jailbreaking opens your phone to 3rd party apps, free apps (paid apps in App Store) and hacks/tweaks.
 
I jailbreak to tweak my phone and change the appearance.

Put notifications on my lockscreen, having something simlar to the notifications center in iOS 4, using a pattern lock, changing the way my icons look, widgets, etc.

Jailbreaking for free apps is piracy. Support developer or the quality of the apps store will suffer. I am not a fan of the Android market and I know lots of developers who solely develop for iOS because its the best chance for them to make money.
 
If you wait long enough, Apple will incorporate most jailbreak features that have been out for years. Folders, backgrounds and notifications come to mind.
 
I jailbreak for Activator, which allows me to start/pause/skip track/go back track by pressing and holding the home button and volume buttons. It lets you do this anywhere, including when the phone is sleeping. I also like to use third party widgets on the notification centre to do stuffs such as quick toggle of data/3g/wifi/gps/brightness/orientation.

It's true that many jailbreak tweaks have been incorporated into the stock OS, but there are still many could only be enjoyed when you jailbreak.

I don't care about software pirating. In fact the applications that I bought from Cydia are generally more expensive that those from the App Store. Whether you believe it or not I use hacked applications only for evaluation purposes, and always buy them once I decided that I want the applications. This is why I don't miss any App Store application in the last few months of using iOS5 beta when my phone was not jailbroken.
 
Register on MacRumors! This sidebar will go away, and you'll see fewer ads.