What's an Unlock?
Unlocking your phone allows you to use it on any carrier you want, not just AT&T. You'll pop out your AT&T SIM card and insert the SIM card of a different carrier. The iPhone doesn't allow you to do this normally, so a little bit of hacking is involved.
Is it safe? Will I break my iPhone?
Possibly. There's always the worry that the unlocking process will royally screw up your phone--but the only way to deal with that is to read the situations of others who have attempted the procedure before you. As long as you follow the instructions closely, you will greatly reduce your chances of bricking (screwing up) your iPhone. Beyond that, once you've unlocked your iPhone, you'll want to approach new iPhone updates with suspicion. Don't just click "update" in iTunes--wait for the various iPhone hackers to release (and safely test) new tools that will allow you to redo the same procedure on the new firmware.
Is it easy to do? Hacking an iPhone sounds difficult!