A wider variety of apps to choose from is the main reason to jailbreak. That along with the ability to unlock your iPhone using software.
My3G is an apps for jailbroken phones that lets you use a lot more apps over 3G including Facetime. While unlocking is not the same thing as jailbreaking you will have to jailbreak if you want to use a software unlock.
Jailbreaking will give you access to the root file system of the iPhone giving you complete control of it. While this is a good thing it has some dangers as you will have the ability to completely brick your device if you are not careful or don’t know what you are doing.
Additional apps that allow you to do more and save more when you jailbreak include the following. You can tether cheaper and better using MyWi which is an app for jailbroken devices only. It is far cheaper to use than AT&T tethering plan.
You can have a cooler looking phone when you jailbreak it using Winterboard themes. There are also a variety of useful lock screens that allow you to decide just how you want to use and what you want to see on your lock screen. CyDialer is a favorite that you should look into.
But the best thing about jailbreaking is the fact that it is reversible. You can always take your iPhone back into time to factory defaults whenever you want. But that is probably not going to happen.