As I understand it, a tethered jailbreak involves you having to hook your i device to a computer everytime it is rebooted or if the battery dies. You have to have the program on that computer that jail broke the device to begin with so that it can let the device boot up jailbroken.
It would suck if you needed to reboot the device without a computer with the jailbreak program on it near by. So yes it is a hassle.
It's like having to have your car hooked to a gas pump everytime you started it.
Also according to their faq jailbreakme.com only works up to firmware 4.0.1 not 4.1 http://www.jailbreakme.com/faq.html