Seriously? Honestly, if i had to use a non-jailbroken iPhone, i wouldn't -- i would never use one (go Android!).
There are countless tweaks and additions that i just couldn't do without. Most of which are things that Apple should have included to begin with.
I can not begin to list everything, but some musts for me are:
1) biteSMS (or equivalent): Being able to see/reply/hide texts right from the lock screen. I can not fathom having to unlock and open the stock text app every time i receive a text in order to reply.
2) SBSettings: Having to find your Settings icon, open it, find a setting like WiFi or brightness just to toggle it on or off is ridiculous. With SBSettings, all i have to do is swiper the time in the status bar up top and i have all my toggles readily available.
3) Backgrounder: REAL multitasking. I should be able to listen to Pandora and chat on AIM while listening to Pandora. the new iOS4 is NOT true backgrounding.
Other great additions, but not exactly 'must-haves':
4) Complete customization. Custom icons, sounds, ringtones, fonts, etc. For free.
5) Intelliscreen: Show any and all information right on your lock screen. Emails, texts, calender, weather, RSS feeds, etc.
6) Being able to tether my phone to any computer (to share your phone Data plan with your laptop, etc) without whatever extra monthly fee AT&T makes you pay ($20 extra or something ridiculous).
7) iBlacklist: Block unwanted numbers.
8) TV-Out: Watch videos on any TV!
9) Emulators: NES, SNES, Gameboy, PS1...etc etc.
10) Download and install any app for free (the only illegal part).
And that's without mentioning being able to unlock it to free yourself of AT&T. The list really goes on and on.
I think the question really is: I don't really know why i shouldn't.