Redsn0w or PwnageTool?
The only irreversible thing you could do is to upgrade your baseband, eventually making it harder/impossible to unlock. In the past bricking the device was possible, because you were able to reflash the bootloader incorrectly (iPhone 2g) and thus bricking the device.

PwnageTool and Redsn0w are from the same developers team (dev-team) and they are using the same jailbreaking method (as of redsn0w 0.9.6rc9 and PwnageTool 4.3). IMHO both are safe, but PwnageTool gives you more power.