I don't think you can brick it, but you may get stuck in a restore loop if you try to restore without the SHSH blobs.
If you didn't backup your SHSH blobs then its likely that you can't only restore to the latest version of iOS and that version you likely can't do a untethered jailbreak yet as of today.
In a basic sense, you can only jailbreak to the latest version that the jailbreak people can support.
As of today only 4.1 can be jailbroken using an untethered method.
Google search for a app called tiny umbrella.
This tool is what you use to assist in restoring iPhones, iPods, iPads to a firmware older than what is the latest.
You use this app to backup your SHSH blobs, so when apple releases a newer version of software, you use tiny umbrella in the process of restoring to the older software.
The reason for tiny umbrella is when apple releases newer versions of their software, they make it where you can't restore to older software only the newest.
Here is a scenario.
iPhone 4 running 4.1, it's acting funny so i'm going to restore it.
I will use tiny umbrella to trick iTunes into restoring to 4.1 instead of 4.2.1
I can restore to 4.1, I will then apply limera1n
Result: fresh iPhone with cydia loaded and everything else defaulted.
Note: I did not preserve my baseband, so I can not get the phone unlocked from AT&T.
I hope this answers your question, if not, please post your thoughts and I will do my best to explain.