Is it safe to jailbreak an iPhone 4?

I recently just bought an iphone 4 over a week ago. I want to jailbreak it though using redsn0w. I have no experience jail breaking but it seems as if there's only a few step by step procedures by doing so. What will I lose by jailbreaking? Is there any change of this permanently damaging my phone? Is redsn0w safe? Is it worth it? What are the risks I'm taking?

It can open up security holes so I don't recommend it, it can also slow down your phone it doesn't do anything that is irreversible though so I suppose you could try it just be sure to create a backup… Its worth it for awhile then it can get boring and your phone might slow down quite a bit then you'll get tired of it being so slow so you'll install the latest version of IOS and lose your jailbreak then you will probably go weep in the corner because you lost your sms signature. Then buy an android phone in the future)

I think it just a matter of personal preference.
Don't jailbreak it if you are contended with the iPhone as it is.
There's always a risk in doing something unofficial (jailbreaking is still NOT illegal as far as i know), but you can push your phone's ability to its limit by installing custom mods available only for jailbroken iPhones.
I recommend comparing your (not yet jailbroken) iPhone to another jailbroken iPhone so you can learn the pros and cons.

Please be warned that there's something called SHSH blobs (http://en.wikipedia.org/wiki/SHSH_blob) which is crucial if you want to restore/downgrade/upgrade you iOS versions. Refer to http://www.idownloadblog.com/2013/02/02/how-to-save-shsh-blobs-for-ios-6-1/ for more informations and instructions. Although, I believe Apple is has stopped signing SHSH for iOS 5 or older versions. So I have to tell you that once you jailbreak your current software and regret it, you will have no choice but upgrade to a higher version of iOS (if you are on iOS 5.0.1, you can still upgrade to 5.1.1).

Oh, since iPhone use mobile network, you might need to preserve your baseband by creating a custom firmware before jailbreaking. Read:
- http://iphoners.org/what-is-iphone-baseband/
- http://theiphonewiki.com/wiki/Baseband_Firmware

I have an iPod Touch 4G, and always jailbreak everytime I restore/upgrade.

You're not taking any risks. Although, I would recommend using evasi0n since it's the newest and most up to date jailbreak. If you decide to jailbreak here's a step by step tutorial on how to do it:

Here are some cool things you can download once you're jailbroken:

Hope this helps you out!