Yep there are a couple of new CFWs for 4.00+ FW but they can't be installed on a PS3 with 3.56+ FW. Also there have many reports of them not working/functioning properly. So it's best to stay on whatever CFW/JB you're on now if you are on one of them.
What costs money? CFW? It's free. CFW is for you to run unofficial applications on PS3, such as Showtime, not just game backups.
Backup Games = you buy an original copy and back It up to your PS3, removing the need to use the BD. Don't download them, support the industry instead buddy, since this forum doesn't support piracy, there are no games download links here.
I don't want to sound rude, but while there are people willing to explain everything to you, It's always better if you to know how to do some search on your own, at least to learn the basics yourself, that will definitely make you learn how to avoid unnecessary bricks.
Well let me put it this way, with CFW you will be able to do the following
Run unsigned code on your system, code that is generally not approved by Sony that is homebrew and other applications or apps for short
Backup your games to HDD and protect your precious game discs
Load games off your HDD for faster loading times
and so much more
Now the drawbacks to jail breaking a console are the following
Can't access PSN/ a bit risky to do so will get you banned
Have to wait for patches of recently released games to come out in order to play on lower firmware that what is required
A bit confusing at times in order to get the game working
Chance of bricking your console if something goes wrong.
Can't update to later firmware pushed out by Sony in order to gain access to PSN but work arounds are available at this point in time.
Well thats about it the pros and cons in a nutshell of what can and can't be done with a hacked/jailbroken console. Hoped this helped