That's correct. While there is a chance that you can mess up a jailbreak, the risk is minimal. If you have firmware version 3.1.2, the blackra1n is the simplest and fastest jailbreak that I have ever seen, and I've experienced about 5 by now.
The only thing you have to watch out for is the fact that neither Apple nor AT&T will help you regarding any warranty issues, help with the device, exchanges, returns, etc. However, as everyone else has said, it is very easy (too easy for some, right "accidental" 3.1.3 upgraders? lol j/k) to "UN-jailbreak" your iPhone, should you need to deal with Apple or AT&T.
You're also not losing any capabilities. You're only gaining new ones! I would say Do it, but you may have a different prerogative than most of us here do. Please let us know what you have in terms of firmware and baseband. From the Home screen, tap Settings, then General, and finally About. Take note of "Version" and "Modem Firmware" and post that information here.