All unlock methods require developer access, which is granted on per-device basis and is available only on unlocked devices. Basically, on devices where Microsoft allowed it to work.
There's no 'jailbreak' in the sense of iPhone jailbreaks where a bug somewhere in iOS is exploited to gain root access.
>Q: I've a Lumia 800 or 710 can I Interop-Unlock it?
>A: The short answer is yes if you have a Lumia 710 - you must firstly downgrade your bootloader - and "maybe" for the Lumia 800, because only some of them can be Interop-Unlocked at the moment.
I know because I actually have an 'unlucky' Lumia 800 which can't be unlocked.
>There is no 100% locked-down Windows, not even in the Xbox or on Windows Phones.
XBox 360 is also unhackable. It's unlikely to be hacked before its useful market life ends.