I did it just now. And it went smoothly.
Here are the links you will need to get things going.
First the iphone dev team have with in a day after the official release of the iphone firmware have released a software to jailbreak and unlock the iphone.
Once you download the software from iphone dev team. Which is around 16 Mb, you will need the actual 2.2 firmware from apple.
Go here to get the direct links to the iphone firmware which you can use to download using any download manager for fast downloads.
The 2.2 firmware is 250 Mb download.
Using itunes restore you iphone. Select the shift key on your keyboard and click the restore button in itunes. And itunes will ask you to select the firmware. Select the firmware you just downloaded and it will do the rest.
Once iphone reboots it will be updated but locked, to unlock and jail brake read on.
Run quickpwn it will ask for the firmware, point to it and then it will ask you what installer you want to use and also give you the unlock option.
The it will ask you for the 3.9 and 4.6 bootloaders which you can download from here, they are very small downloads. Once you select both the files quickpwn does the rest.
And you should have a jail broken and unlocked iphone. If itunes gives error in restoring, just select it as a new iphone and it should work fine.
Thank you iphone dev team for such a simple program and thank you Apple for such a cool iphone.