Jailbreak it. There are NO dangers whatsoever. I jailbroke my iPhone 3G with ease.
You can't do much without jailbreaking an iPhone 3G. You can access the AppStore and buy applications but that's it.
Jailbreaking is totally worth it. I, myself, jailbroke my iPhone 3G the third day after I bought it because I was getting bored. Research and do it yourself.
If you want to unlock your iPhone 3G, you can only do it by jailbreaking it first. The result of unlocking is allowing your iPhone to operate on a carrier other than the one it is locked to.
The most common reasons to jailbreak an iPhone 3G are to gain access to third party apps for free without using the iTunes App Store, video camera features, extensive personal customization and using the iPhone as a modem for laptops, but there are other features available that make it worth performing a jailbreak on an iPhone.
The biggest advantage of jailbreaking an Apple iPhone is gaining access to the following features:-
1) Open SSH is a handy tool for copying files to and from your iPhone. Open SSH gives iPhone user root access to the phone to enable the transferring of NES roms, voicemail, text files and more.
2) VNSea is an amazing app that allows you to remotely control a home computer from your iPhone.
3) Better Gaming options are available on the Apple iPhone but only if you are willing to shell out the bucks to download the apps from the iTunes App Store. Jailbreaking your iPhone gives you better gaming options like the NES Emulator for free.
4) Categories is an app that's available through Cydia on an Apple iPhone that's been jailbroken. It works like a filing cabinet that allows you to organize the icons on your iPhone springboard.
5) Backgrounder is one of the most useable tools for the iPhone since an iPhone that has not been jailbroken can only run one app at a time. What the backgrounder app does is allow iPhone users to run more than one app at the same time.
6) 'Cycorder' allows you to record video.
7) 'WinterBoard' allows you to change the themes for the Keyboard, SpringBoard, Lockscreen etc by downloading them from Cydia.
With Cydia you can install apps that allow you to customize your springboard, change your sounds, alter icons, install themes and more for free without ever accessing iTunes.
Performing a jailbreak on an iPhone 3G will void your warranty, however if you restore the iPhone back to the original factory settings before you ship it back to Apple you will still have an intact warranty.
Good luck.