Jailbreaking opens up a whole new world of functionality of your iDevice. Your allowed to make modifications such as

Theming
Addons
Tweaks
secrurity fixes
root access
The list could go on forever…
You can also install thrid part apps that Apple does not approve of in their app store. This allows for developers to be able to get their apps out to the public without relying apples poor aprovment process.

Click the jailbreak tab at the top and select your iDevice. There are instructions as to how to jailbreak.