If you do not require your phone to be unlocked, then this doesn’t apply to you (IE you have service with AT&T and plan to keep it that way), but if you are a Yellowsn0w or Ultrasn0w user, updating could cause you to lose the ability to unlock….forever.

Here is the official update from the Dev Team:

Ultrasn0w users must stay away from any firmware updates past 3.0 (including today’s 3.1 beta) until we release the tools that let you update the firmware without updating the baseband.  For most phones out there, baseband updates are irreversible and you’ll lose ultrasn0w.

The 3.0 jailbreak was one of those (rare) times where both the jailbreak and the unlock coincided (the only other time was 2.2).  It’s important that people realize that *most* firmware releases aren’t like that, and you need to take steps (via the tools) to separate the firmware update from its included baseband update.

This warning does not apply to the iPhone 2G, which uses BootNeuter for the unlock, not ultrasn0w.