This is a great tutorial with a link to the software required to jailbreak your iphone. Make sure you are on iOS 5.0.1 which is the latest software version available.
Jailbreak 5.0.1 Untethered iPhone 4, 3GS, iPod Touch 4G, 3G, iPad With Redsn0w 0.9.10b1 [Tutroial]
If you need any help do not hesitate to ask. Once you jailbreak you never go back. It allows you to customize your iPhone in so many way including using Siri. CURRENTLY THERE IS NO JAILBREAK AVAILABLE FOR THE iPhone 4s. Keep that in mind anyone trying to jailbreak. There is supposed to be a jailbreak released really soon for the iPad 2 and iPhone 4s.