It really depends on what Firmware version you're running. JailbreakMe can do it from your Safari browser if you're @ 4.3.3 (IIRC) or lower. Up to 4.3.5 requires connection to your computer and a few more steps. iOS 5 jailbreaks are currently Tethered. Give us a little more info and we'll get you pointed in the right direction.Also... a quick "Search" would have brought up this in-depth Jailbreaking thread.
http://www.iphoneforums.net/forum/iphone-jailbreaking-17/jailbreaking-methods-iphone-18519/