How to jailbreak ALL iOS devices on the newest Firmwares

iPhone 2G
Use iTunes to update to 3.1.3 (download here). Then download Spirit here and connect device. Click 'Jailbreak' and wait until your iPhone reboots. Cydia will be there.
Jailbreakme also supports 3.1.3 but Spirit is more reliable.

iPhone 3G
Use iTunes to upgrade to 4.1 (download here). Then download redsn0w 0.9.6b1 here and the 4.1 IPSW here. Open Redsn0w, click 'Browse' and select the downloaded IPSW. Wait while redsn0w patches the kernel/RAM. If you dont have an internet connection, redsn0w will crash. Then select anything you want from 'Verbose Boot', custom boot/recovery logos and enable multitasking/homescreen wallpaper/battery percentage. Continue and follow the instructions to enter DFU-Mode. Then redsn0w will jailbreak your iPhone. Once the process completes on the computer, wait until it is also completed on the iPhone and then Cydia will be there.

iPhone 3GS, 4
Use iTunes to update to 4.1 (download here). Then download Limera1n here and connect device. Click 'Make it ra1n' and wait. Your iPhone should be in recovery mode. Hold the power and home button for ten seconds and then keep holding the home button until you iPhone connects to the computer (DFU-Mode). Wait for the jailbreak to complete and then power on your device. Start the Limera1n app and download Cydia (Wi-Fi connection required). Reboot afterwards.

iPod Touch 1G

Use iTunes to update to 3.1.3 (download here). Then download Spirit here and connect device. Click 'Jailbreak' and wait until your iPod Touch reboots. Cydia will be there.

Jailbreakme also supports 3.1.3 but Spirit is more reliable.

iPod Touch 2G
Use iTunes to upgrade to 4.1 (download here). Then download redsn0w 0.9.6b1 here and the 4.1 IPSW here. Open Redsn0w, click 'Browse' and select the downloaded IPSW. Select if you have an MC-Model or not. Wait while redsn0w patches the kernel/RAM. If you dont have an internet connection, redsn0w will crash. Then select anything you want from 'Verbose Boot', custom boot/recovery logos and enable multitasking/homescreen wallpaper/battery percentage. If you have a MC-Model, 'Verbose Boot' and custom boot/recovery logos will not be available. Continue and follow the instructions to enter DFU-Mode. Then redsn0w will jailbreak your iPod Touch. Once the process completes on the computer, wait until it is also completed on the iPhone and then Cydia will be there. If you have an MC-Model, select 'Just boot tethered' to boot.

iPod Touch 3G, 4G

Use iTunes to update to 4.1 (download here). Then download Limera1n here and connect device. Click 'Make it ra1n' and wait. Your iPod Touch should be in recovery mode. Hold the power and home button for ten seconds and then keep holding the home button until you iPod Touch connects to the computer (DFU-Mode). Wait for the jailbreak to complete and then power on your device. Start the Limera1n app and download Cydia (Wi-Fi connection required). Reboot afterwards.

iPad

Use iTunes to update to 3.2.2 (download here). Then download Limera1n here and connect device. Click 'Make it ra1n' and wait. Your iPad should be in recovery mode. Hold the power and home button for ten seconds and then keep holding the home button until you iPad connects to the computer (DFU-Mode). Wait for the jailbreak to complete and then power on your device. Start the Limera1n app and download Cydia (Wi-Fi connection required). Reboot afterwards.

Apple TV

The Apple TV has been jailbroken by SHAtter but there are no Apps for it. It is unknown if the Limera1n exploit works on the Apple TV. Wait for either Greenpois0n or an updated Limera1n. 

Mac Users wait for an Limera1n update or Greenpois0n. Consider downgrading to 4.0.1 or 3.2.1