To Jailbreak any device on iOS 4.2.1 in a thethered state look at this Guide. Ignore the parts of the guide that tell about unlocking unless they pertain to you.

 

If you have an iPad, iPhone 4 or iPod Touch 4G then you can now have an untehtered jailbreak on iOS 4.2.1 visit this Page to learn how to do it.

 

If you are unsure of the difference between a tethered and untethered jailbreak visit The Jailbreakers Dictionary to learn the difference.