We've already covered iOS 4 in quite some detail, so there's no need to go through each and every feature again. The big one is "multitasking", which is placed between quotation marks because it's not really multitasking at all (but who cares what it is - as long as it looks like multitasking I'm happy). After installing iOS 4, you'll be able to do something indistinguishable from multitasking. Finally.
Folders are another nice addition, allowing you to store several applications within a single folder on your home screen. This should alleviate the problem many have where they have 3489345 applications installed (3489145 of them flashlight and fart applications) spread over an insane amount of home screens. Speaking of home screens - you can have your own background now. Yeah.
There's other stuff too, like a much-improved mail applications, spell checker, improved camera zoom, support for wireless keyboards, and more. In other words, make a cup of tea, get a good book (or hopefully watch Spain lose to Honduras), and have fun with the iTunes update eXpErIeNcE.