How to Jailbrake your iPhone

There are many free tools available to do it. Here there are some third-apps:

iNdependence, http://code.google.com/p/independence/ (v1.0.0–1.1.3)
iNdependence is a utility for Mac OS X that performs jailbreak, activation, SSH installation, and even installation of ringtones, wallpaper, and third-party applications on the iPhone.

AppSnapp, http://www.jailbreakme.com (v1.1.1 only)
Users running version 1.1.1 of the iPhone firmware can navigate to this web site using their iPhone and have the entire jailbreak process performed remotely. AppSnapp takes advantage of a vulnerability in one of the iPhone’s image libraries to break into the phone. What’s cool about this site is that it not only jailbreaks your phone, but it also fixes the vulnerability so that nobody else can maliciously take advantage of the phone. Version 1.1.1 and later of AppSnapp also patch the iPhone software to allow third-party applications, and installs AppTapp, the NullRiver installer, which can then be used to stage your iPhone for development.

AppTapp, http://iphone.nullriver.com (v1.0.0–1.0.2)
Allows you to install any application on your iPhone that is included in their repository using a few easy taps. The installer software itself works with most versions of the iPhone software, but the installer’s installer (if that makes sense) is capable only of jailbreaking iPhone firmware v1.0.x. AppTapp doesn’t work with v1.1.1 firmware.

ZiPhone, http://www.ziphone.org (v1.0.0-v1.1.3)
ZiPhone is a jailbreak technique developed by the iPhone Dev Team. It was kept under a heavy shroud of secrecy in anticipation of the Apple SDK, but it was eventually leaked by one of the dev team’s former members. ZiPhone has since been developed beyond a simple jailbreak technique and many other utilities have been added to it, including a full unlock for all iPhones up to OTB (Out-of-the-Box) v1.1.3