if i were you i would just wait.. yes, i said wait. enjoy the iOS experience before you start digging into the "brains" of the iPhone
after using your device for a while you might get bored with the fact that you cannot customize your wallpaper, springboard & icons to your liking. jailbreaking allows you to do this
also, after a while you will notice that there are a poor selection of tones for sms, email & notifications. once again, jailbreaking will allow you to customize these to what YOU would like
lastly, if you are not into any type of customizations then there are plenty of apps and tweaks that will make the workability of your device so much better and for some reason Apple cannot figure it out, yet...
for example; notifications on the iPhone, in my opinion, are a complete joke and there plenty of "remedies" for this in the jailbreak scene. for example: LockInfo
as far as any risks.. the good thing a restore in iTunes will wipe everything completely off the device and bring back to stock. a lot of people do this if they ever need to take the device in for any type of warranty work as Apple can refuse to work on it in a jailbreak state and claim it voids warranty. i have yet to read any horror stories about a situation like it, yet
currently jailbreakers use Cydia to gain access to all their jailbreak apps and tweaks. Cydia is basically like the App Store.. but for jailbreakers. there are a lot of free apps/tweaks out there but you will notice that the better ones do cost money and well worth it.
if and when you decide to do it there are a lot of helpful members here in the jailbreak forum and of course google works great too!