Jailbreaking the iPhone is first off not sanctioned by Apple.
What can happen are several things as a result.
Some of those things are as follows:
1). You could end up installing software on the phone that is nothing but a virus or spyware and it can copy all of your information to an undisclosed website.
2). What you end up installing could actually "break" your phone and render it useless.
3). Apple has future plans for upgrades to the iPhone. If you mess with what is there now, and then want to install a really cool upgrade in the future... the space for that upgrade may already be occupied within your iPhone and you may loose out on being able to get the newest and latest features that come out from Apple.
So, can you hack the iPhone. Yes. Do you want to? ... well, I suppose thats up to you and and how much money you have to replace it . The probability of damaging the phone or rendering it usless in the future, if you hack it, is quite high.