The iOS update closes the JailbreakMe exploit which allowed the jailbreaking community to inject PDF files with commands to gain root on the iPhone and allow users to jailbreak their iPhones and iPads.
Users will be looking for an iPhone 4 proximity sensor fix which was causing users to accidentally hang up their phone calls when the screen would stay awake during calls. At the moment were are unaware of whether this has been included in the update.
The updates will of course remove your jailbroken status and carrier unlocks, so if you do update you should make sure you backup your SHSH blobs via Cydia.
To download, connect your device to iTunes and check for updates. If you wish to download the fimrware updates manually, they can be found using the following links:
If you have an iPhone 3G that was previously running iOS 4.0.1 and have updated, let us know if you notice any speed improvements by posting a comment.