To upgrade or not is the question. Before you answer, go have a look at App Store. It's cool and any iphone owner cant afford to miss that
But I got a disturbing thought that I will end bricking my phone in the process. After an hour research, I got a strong belief that it's worth taking risk for damn App store and there is a remote chance nowadays to brick your phone. There is always a way to bring it back but may not be easy.
It took just 20 mins for me to upgrade without a single glitch. Try it at your own risk and I accept no responsibility for following this post.
What you need: iTunes 8, Previous generation Mac to create 2.2 custom firmware, 1.1.4 Ziphoned 2G iphone, Pwnage tool 2.2.1 from iphone dev blog site.
First create a custom FW as shown in this site below but just stop before putting the phone into DFU mode if you are using new aluminium macbook.
http://www.hackthatphone.com/20/pwnagetool_2_2_1st_gen_iphone_expert.html
Copy the custom firmware to your windows machine (again if you are using a new macbook or else you can do it in your old mac)
Put the iPhone into Recovery mode (otherwise you may get error 160x) as shown in the site below
http://www.iclarified.com/entry/index.php?enid=367
Itunes should detect your phone in recovery mode as described in the site above. Now press shift and then click restore in iTunes and select the custome firmware that was created before. Wait till all the processes are complete and do not unplug in between.
Enjoy 2.2 and App store. Good Luck!!