If you’re a regular jailbreaker, you’ll be happy to know that iOS 4.2.1 is jailbroken already and that you can download the IPSW and roll your own install immediately. RedmondPie has a great how-to but it’s pretty simple.
What does jailbreaking get you? Cydia and homebrew software, for one. It also allows a bit more control over the look and feel of the iPhone. If you’re running a carrier unlock, however, don’t try this trick. You could also feasibly brick your iPhone, so cave jailbreaker.