Jailbreaking removes the restrictions that Apple puts on the iPhone that prevents users from using the device to its fullest. This means you can do the following, including what you can already do:

-custom icons, backgrounds, keyboards
-installation of apps not approved by Apple (apps not found in the Apps Store)
-tether your phone to a laptop, which will allow you to use your phone as a "modem" and use the internet on your laptop
-some apps can actually run in the background, which means you won't have to quit what you're doing to do something else