Risks of jailbreaking?

I just bought an iPod touch, and am trying to decide if I should
jailbreak it (it certainly seems like an attractive option). All the
resources I've seen, though, say nothing about any possible dangers of
doing so (besides user stupidity or another "bricking" update from
Apple). Is it less secure? Is there a possibility things will stop
working? Can I restore it to factory defaults if I want? Should I just
wait for this rumored SDK? Thanks for any advice you can give either
way.

Alex