Jail Braking hasn't been proved to be illegal yet, not according to Wikipedia anyway.
"The legality of jail breaking an iPod or iPhone remains unclear, particularly in the context of the Digital Millennium Copyright Act. As part of the 2009 DMCA rulemaking, the Electronic Frontier Foundation asked the US Copyright Office to recognize an exemption to the DMCA to permit jail breaking in order to allow iPhone owners to use their phones with applications that are not available from Apple's store.[19] In response to this, Apple filed comments opposing this exemption and indicating that they do consider jailbreaking to be a violation of copyright (and by implication prosecutable under the DMCA). A ruling on this proposed exemption has not yet been made, but a decision is expected sometime later in 2009."
It's just a method to run, whatever programs you want on your iphone, which imo its your phone you should be able to do whatever you want with it. Apple are just trying to control people in order to make money obviously.