Check this thread out. The people who frequent it were very helpful as I prepared to jailbreak/unlock my 3G.
http://forum.calgarypuck.com/showthread.php?t=91212
Although it may be a bit different for the 4, I basically did Redsn0w and then from Cydia, Ultrasn0w. I'm actually in the UK right now on holiday and I popped a Vodafone sim in there and I was good to go.