It lets you do everything from customizing the look of your iDevice to installing third-party applications (such as titles that are not authorized and available in the AppStore) and customized ringtones on it.
Depending on how far you're willing to go, you can do even more than that because jailbreaking even lets you unlock your phone so you can use it with a carrier other than the one from which you purchased it (if your iPhone is carrier locked).
Are there any risks ?
As far as I am concerned there are NO risks jailbreaking your iDevice. Anything you do can be undone by a full restoration of your device. Sometimes you may get errors while restoring, most of them are software related and can be fixed.
Some issues you can run into by using a jailbroken iDevice:
Most of these issues have an easy fix. What you have to remember is to have all your personal data backed up in iCloud in case you have to restore.
As long as you have your data backed up your device will be always ok even if you have to restore. You won't lose any important data.
Again, advantages: there are plenty.
I will list some of the most important stuff you can do with a jailbroken iDevice (iPhone / iPod / iPad or Apple TV):
There are plenty of other things you can do once jailbroken but you'll have to explore them by yourself. It's why I created Cydiapp.com - for you to browse Cydia's best apps / tweaks / mods / themes.
Already jailbroken?Then you have to visit Cydiapp.com to get the latest and best tweaks / themes and mods available for free or payed in the Cydia Store!