I don't have an iPhone, but most of the guys at work do. There aren't too many downsides to a jailbroken phone, but for most people there aren't that many advantages either. The primary reason to jailbreak your iPhone is to run unofficial apps. Not really illegal apps, just things that Apple won't allow in the app store for one reason or another.
A big reason around the guys at the office do it is so that they can tether other devices to the iPhone. This means that you can get internet access for your laptop though your iPhone without paying anything extra. Apple / ATT charges for this if you aren't jailbroken.