Also, there are 2 different types of restores:
1. there's the normal Restore that happens when your device is plugged in to your computer and you click restore.
2. you can also do a DFU restore by, when plugged in, turning off the device, holding home and power together for 10 sec., then releasing power while continuing to hold home for 10 seconds.
The difference is that when in DFU mode, the iPhone OS isn't loaded and nothing will interrupt the restore. The screen is off when you get it into DFU, and will flash white when the restore begins. I prefer DFU because it seems to be a more complete restore. If you've been jailbroken, I'd definitely recommend using DFU to restore to be sure any changed setting are returned to stock.
Also, DFU mode has an exploit that Pwnage uses to load unsigned, custom firmwares of the 2.x.x iPhone OS.