The pros of unlocking an iPhone are that you can use it with different service providers and that you are entitled to enter forbidden sites. The cons are the warranty of the device may be termed void incase of a problem and that your phone becomes too open such that your data in the phone can be hacked. Visit http://www.macworld.com/article/1153198/jailbreak_worthwhile.html for more information
The pros are that you can use programs besides the ones that are officially approved for the App Store, tweak the appearance of your iPhone in ways that Apple disapproves, and enable abilities that are not available on stock iPhones. The main cons of jailbreaking are that your iPhone may become less stable, with apps being likely to crash more often, and the possibility that malware could be found in some products downloaded from unapproved sources of apps.
Pros: It will free your device to install Cydia, which is mainly the root of jailbreaking software.
Cons: It voids the warranty. Jailbreaking is bad to do during the 1st year (you may purchase a 2nd year warranty via Apple's website) because if something very bad happens to the iPhone (i.e. gets washed), I don't think that Apple would repair it... without it costing you money.