It lets you install apps which have not been approved by Apple.
You can customise it more, add themes, better wallpaper, better notifications, task manager, a variety of things.
Jailbreaking is easy. For the iPad 2 or iPhone 4S you need to use Absinthe:
http://greenpois0n.com/?p=173
Just make sure that you have backed it up beforehand. You also need to remove any passcode from it.
http://www.iclarified.com/entry/index.php?enid=19470
I did it to my iPhone 4S a week ago. The main thing I did it for was IntelliScreen X, an improved notification system which also works on the lockscreen. I also have SBSettings (toggles and a task manager), BrowserChanger (change the default browser), and some other stuff.
Personally, I'm not bothered with Jailbreaking my iPad 2 though, as I don't use notifications on it, and the other things aren't big enough to make me want to do it.
Beware though: if you have a problem with the iPad, Apple is unlikely to repair it if it is still Jailbroken or if they can see it was Jailbroken (the warranty would be void).
You can remove a Jailbreak by restoring the iPad's software using iTunes (so long as it is still working, of course).