The only thing you need to be worry about when jailbreaking your iPhone is bricking it. This can be quite a painful thing to get rid of so it's much better if you avoid it completely instead. But considering the number of features and apps you are missing out on with a regular iPhone, I'm sure it's worth the risk. Plus, if you do everything right, you won't have anything to worry about anyway.
As far as jailbreaking an iPhone is concerned, the best way to do it is by downloading a software. There are a number of different softwares available for download all over the internet that can do just this for you. All you need to do in these situations is download the software, run it and connect your iPhone to your computer. Give the software 15 minutes or so and you will have a perfect jailbroken iPhone. On completion you will see Cydia show up in your app list. That's when you know that the jailbreak has been successful.
And if you're worrying that something might go wrong or that you will lose the warranty on your iPhone after you jailbreak it, don't. It's very simple for you to remove the jailbreak from an iPhone. All you need to do is restore it to an earlier version or update it to a newer one. Even something as simple as syncing it with iTunes will get rid of the jailbreak and there will be no traces of the jailbreak whatsoever. You really do have nothing to lose.
So what are you waiting for? Download a jailbreak software and install it on your iPhone today. You have already missed out on so much, why delay the inevitable any longer?