Theres tons of info about it, just google it.
Basically though, never update after you've jailbroken your device. You should restore your device in that case from iTunes, this removes jailbreak. Also, know what you're installing. It makes sense for me to jailbreak since I also use the iCade arcade cabinet and can now install emulators for arcade games.
This is what the page I visit say about it (translated from swedish):
What are the risks with jailbreak?
There is always risk in having their iPhone, iPad, iPod Touch or Apple TV jailbroken because it opens the file system. The risk of any physical damage to your unit because of the jailbreak is very small. However, one should be aware of what to do with their jailbreak, since many of the apps available on Cydia are not approved by Apple and can really contain anything. At worst, someone can access your information on your device.
However, it is always possible to restore the device and get rid of everything related to the jailbreak. Worth pointing out is that the jailbreak removes any warranty from Apple and the operator temporarily. But the jailbreak is reversible, however, regaining the warranty anytime - as long as it is possible to boot the machine.