ONLY if your phone has a carrier unlock is there anything to be careful of, as you can lose this when you update to newer software. If its on 5.01 already there is nothing to worry about. The worst that can happen is that after your jailbreak you try and jam too many incompatible tweaks on it and it crashes. (like mine did last night) However I have had a jailbroke phone for 6 months now and its the first time it happened; and all it means is you have to spend a tedious few hours restoring, rejailbreaking and then reloading all your apps on. iPhones have something called DFU (device firmware update) mode which means however badly wrong things go you can always just restore back to factory settings, and if you regularly back up with iTunes, you'll get all your stuff back too.
You sometimes see thread titles on here "Bricked my phone what do I do!" but if you follow up what happens its usually easily solved. The only really awkward ones are when a passcode is set on the phone i think.