JailbreakMe works on the device itself! Visit this website on your iPhone, iPod touch, or iPad to get started.
What's a jailbreak?
A jailbreak is simply the ability to run apps and use themes and tweaks not approved by Apple. Jailbreaking doesn't slow down your device or use any extra battery. A jailbreak lets your device be how you want it.
How can I be sure I always can jailbreak in the future?
Firstly, don't update past 4.0.1, the last firmware JailbreakMe supports. Secondly, and arguably most importantly, allow Cydia to "make your life easier". This will allow you to always restore back to the latest firmware available when you select that option.
Is JailbreakMe reversible?
Of course! If you ever decide that you want to remove your jailbreak, just connect your device to your computer, sync, and then press Restore in iTunes.
Is this legal in the US?
Yes. A new DMCA exemption was approved by the Library of Congress, specifically allowing jailbreaking.
Credits
Jailbreak by comex, website by westbaer and chpwn. Special thanks go out to BigBoss, chronic, DHowett, MuscleNerd, planetbeing, posixninja, and saurik. Thanks to everyone else that tested and helped, and all who donated.