I've found that you can use the Windows Phone SDKs to perform a "Developer Unlock" on your phone, which allows installation of apps which are not hosted in the native app store.
Is this all that a Developer Unlock does, or are there other significant changes I should be aware of? Does it enable any other useful features, or alternative means of accessing/using the phone? Are there any security risks to be aware of, aside from that which might be posed from apps that don't go through the store's approval process?