Comex has launched a site called Jailbreakme.com, that when visited from an iOS device, allows you to jailbreak it. This is the first jailbreak for iOS 4, and can be accessed via the mobile version of Safari. The point is to make jailbreaking easier for the average joe, I presume.
"A jailbreak is simply the ability to run apps and use themes and tweaks not approved by Apple," explains the site. "Jailbreaking doesn't slow down your device or use any extra battery, and is fully reversible (just restore in iTunes). A jailbreak lets your device be how you want it."
Engadget has posted this video trying to jailbreak the phone, but some issues were encountered:
Apple recently gave the following statment to Cult of Mac:
"Apple's goal has always been to insure that our customers have a great experience with their iPhone and we know that jailbreaking can severely degrade the experience. As we've said before, the vast majority of customers do not jailbreak their iPhones as this can violate the warranty and can cause the iPhone to become unstable and not work reliably."
Some have had problems with FaceTime and MMS after jailbreaking, but Redmond Pie offers a solution.