My wife MUST jailbreak to have it for themes/styles. In fact, I bought her a 3GS for Valentine's day that has been sitting around collecting dust because it couldn't jailbreak (she's still using her 3G).
I also made her icons that do 1-click SMS to me for quick things like ("On my way home" or "Call me, I'm driving and can't text."). I used bash scripts and a tool in Cydia for command-line SMS'ing on the iPhone.
Also things like iLocalis are cool for tracking down your phone if lost/stolen, and purportedly for keeping a sanity check on your kid's location.
Basically, if you want to do any heavy customization to the phone, you'll need to jailbreak. Every year, Apple takes a little more away from the jailbroken app category by adding new features, but there will always be some things they aren't so keen on.
I'm on an ipod Touch, not iPhone, but mine are: SBSettings to enable/disable wifi quickly to avoid battery drain, scummvm to play my old collection of LucasArts games and lockcalendar to have a calendar in the lockscreen. Only this, but only this pays it off quite often.
I've jailbroken a few times but haven't found much to do once it's jailbroken.