BigBoss posted a warning about the popular iPhone jailbreaking tool blackra1n, and I think it's worth repeating. Apparently, as of this current writing, the copy of Icy bundled with blackra1n is broken and will cause severe problems. You can still use blackra1n, just don't install Icy.
If you've found this post using a search engine, check its date (2009.10.22) and check the date of the latest version of blackra1n's release. If it was released after today, this post may not be relevant anymore.
I recommend reading BigBoss's full post as it has more details and information in it.