As from today you've the easiest Jailbreak ever for all Iphone 3, 3GS and 4. This Jailbreak assumes you're running IOS(firmware) 4.0 or 4.0.1. There is no need to connect any cable, build any ipsw or run any software, since it's all done via the Safari Web Browser already included on the iphone. You'll just need a Wifi Connection or 3G access, and as long you're connected to the internet, the Jailbreak becomes very simple.

Jailbreak of the iPhone is now Legal in the US, so Europe will be probably adopting the same measures.  Further information and reference: blog.iphonedev.org and http://www.jailbreakme.com/faq.html

Steps below:

1) Double Click  the Home Button and close Safari if opened. 

2) Open Safari Icon and write the address: jailbreakme.com 

3) Slide to continue, and you'll see window which shows the download status
4) Enjoy.

If at Step 4 after Sliding to Jailbreak you get only the background, it's probably because the server is too busy. Try again from step 1 but use the address jailbreakme.modmyi.com