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Tethered jailbreak
A tethered jailbreak is only able to temporarily jailbreak the device during a single boot. If the user turns the device off and then boots it back up without the help of a jailbreak tool, the device will no longer be running a patched kernel, and it may get stuck in a partially started state, such as Recovery Mode. In order for the device to start completely and with a patched kernel, it must be "re-jailbroken" with a computer (using the "boot tethered" feature of a tool) each time it is turned on. All changes to the files on the device (such as installed package files or edited system files) will persist between reboots, including changes that can only function if the device is jailbroken (such as installed package files).
Using a tethered (or semi-tethered) jailbreak
To boot tethered, you need to plug your device into a computer, open the software that you used to jailbreak it, and find its tethered boot option. For redsn0w: click "Extras" and then click "Just boot".
If you don't boot tethered when you boot up the device, the device will either be (A) stuck at the Apple logo or (B) boot up into a seemingly "un-jailbroken" state where Cydia, Mail, and Safari crash (and jailbreak-only tweaks/themes don't work) - until you plug the device into a computer, open your tethered boot program (for example redsn0w), and follow its instructions. The situation in (B) is often called a semi-tethered jailbreak.
Tethered jailbreaks behave semi-tethered by default. If you install Mobile Substrate extensions (tweaks), your device will still be semi-tethered. But if you install Notification Center plugins that don't depend on WeeLoader, your device will no longer be semi-tethered – unless you also install the BigBoss semitether package.
Tethered jailbreaking tools
redsn0w and sn0wbreeze are permanently able to use limera1n and other bootrom exploits to jailbreak older devices tethered on any iOS version (including iPhone 3GS, iPhone 4, iPod touch 3rd generation, iPod touch 4th generation, iPad, and Apple TV 2G), because bootrom exploits take advantage of code that is permanently embedded in the device's hardware, which Apple cannot update with iOS updates. Those tools do usually need minor software updates (not exploit-related) to explicitly support new iOS versions. They also use additional exploits (specific to each iOS version) to produce untethered jailbreaks when possible.
The initial jailbreak for the iPod touch 2G was tethered, until the hybrid dev team released the 0x24000 Segment Overflow. The codename for the tethered jailbreak was redsn0w Lite.