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I get a lot of questions from relatively inexperienced iPhone or iPad users having trouble with getting a new jailbreak to take properly. Most of them get so frustrated with things not working when they apparently should that they end up going down the official Apple route and missing out on all that Cydia goodness.
However, one thing I've noticed that works more often than not when I suggest it is to try the jailbreak on a different computer. It sounds simplistic, but it can make the difference between success and a phone disappearing through a window.
Seriously - if you're having trouble with a JB on, for example, your desktop, just switch to a laptop if you have one or borrow a friend's. The different setup on there (looking at you, iTunes) can make all the difference, particularly if you keep seeing RedSn0w crash out on you. Give it a spin -- tutorials below if you need them. And remember, this is all about access to Cydia and its goodness, not ripping off all those good devs out there.
iClarified jailbreak tutorials