The custom firmware, everyone should have. I just restored my old 2G iPhone as I am selling it and it was so quick and easy, all I did was Shift Restore (hold shift key when pressing restore button in iTunes and you can select which file to use as the restore file) in iTunes and it was done. It was Jailbroken, Unlocked and had installer pre-installed. Now before WinPwn/Pwnage I would have had to restore in iTunes and then Jailbreak and Unlock it as seperate steps.
With WinPwn the first time you run it you will create yourself a custom firmware, should you need to restore again you "shift restore" in iTunes and select the firmware you created (which you should have saved somewhere for later use).
Trust me, as a well seasoned iPhone unlocker/jailbreaker I can safely say WinPwn/Pwnage really are the best programs to use. They are also the safest to use as well. Unlike other previous jailbreak methods that exploit the iPhone, WinPwn/Pwnage Tool modifies the iPhone to accept unsigned .ipsw files making it safer to use.