A nice instructional video has been compiled on how to apply the current Redsn0w 0.9.6b4 tethered jailbreak solution to your iPhone, iPad or iPod touch. The tethered part means that you have to boot into a "jailbroken state". That only applies to newer iOS devices, though - the iPhone 3GS with the older boot ROM, the iPhone 3G and the non-MC iPod touch 2G don't need that.
Well, tethered jailbreak it is, at least until the crafty folks come up with an idea to circumvent that requirement. The process also updates your baseband, thus if your iOS device is unlocked, the unlocking will be reversed, so be careful.