Our friends at iPhone jailbreak guide have posted instructions on how to perform an untethered jailbreak on the iPhone. This kind of jailbreak (RedSnow / RedSn0w) makes sure you no longer have to jailbreak your iPhone again and again after conducting a soft reset (reboot).
The guide is apt and to the point. I just tried it on my iPhone and it works like a charm. [iPhone 4.3.1 RedSnow Jailbreak]