Basically you can download apps that are not approved by Apple but which use almost all the iphone's possibilities. There are free apps and paid apps in the Cydia store, they're NOT all free.
But many of those apps slow down the iOS device, drain the battery and some of them need patches so that your precious iPhone won't be hacked. These are the main reasons why they don't get apple's approval.
many jailbroken devices suffer shutdowns and have to be interfered with over and over again.
I don't recommend jailbreaking because of battery issues I experienced on mine, but many people just can't seem to live without it.
iOS 5 will bring many changes and improvements for iPhone, but its your decision of course.