[gr8fl4porsche]

I can't help you with the T-Mobile portion but here is the scuttle on the rest.

Unlock means to free the phone from ATT's grasp. You can now use the phone on any other GSM network. In the US, I believe T-Mobile is your other choice. Not sure how this is done.

Jailbreak simply allows you to install applications that are not approved and distributed by Apple through Itunes. The other apps are not necessarily free, just like the app store. Some are, some are not. There are cracked apps available but that is another discussion.
Jailbreaking installs a secondary app store called Cydia. The Cydia apps can be more useful than the official apps in that they allow access the internal file system of the iphone. Apple keeps you from this file system without Jailbreak.

The bad news.

Iphones are now running OS 3.12 As of this typing - no jailbreak or unlocking has been developed for public use. Jailbreaking should be any day now but unlocking has not been talked about much.

The older phones with the 3.0 OS are still Jailbreakable and Unlockable.

I hang out on the iphone forums all day long - cannot remember anyone who 'bricked' an iphone with the latest jailbreak tools.