Today, the Dev-Team announced that there will not be a jailbreak coming for iOS 4.0.2.
With the Jailbreakme.com being one of the most successful and easiest jailbreak methods ever to jailbreak iOS 4.0.1 and earlier, Apple quickly closed that hole with iOS 4.0.2. If you have not yet updated to iOS 4.0.2, good! That means you can still jailbreak.
On the other hand, if you have updated to iOS 4.0.2 or received a new iPhone with iOS 4.0.2, there is no official jailbreak method at this time.
Since Apple only released iOS 4.0.2 to essentially block the jailbreakme.com exploit, the Dev Team has decided that it is more useful to provide a jailbreak for the upcoming iOS 4.1 than to provide one now for iOS 4.0.2 and potentially jeopardize an iOS 4.1 jailbreak.
So if you currently have iOS 4.0.1, try your best to avoid that update button in iTunes!