The following is the video containing a complete step-by-step tutorial to jailbreak all iOS 4 iPhone (iPhone 4 included) using JailbreakMe from Comex. But be sure your device is activation on iOS 4.0.0 or 4.0.1 before going into action, and then watch the video:
Well done, your device is jailbreaken now. Now you can proceed to unlock your iPhone. But as for iPhone 4, you still need to wait the updated version of UltraSn0w, which will be arriving soon.
Wow.. I am gonna jailbreak my iphone now. Thanks for the info.