Chinese "hackers" have released the first iOS 9 jailbreak. Team Pangu says that the jailbreak works across iOS 9.0 – 9.0.2 and the download is now available here
As always, if you decide to make the move, do a full backup of all your data with iTunes or iCloud first. Based on your written or exported list of favorite packages, try installing one or a couple of them at a time. Especially when a jailbreak is brand-new, it's very likely that many of those packages will have compatibility problems, and it's easier to troubleshoot problems if you don't install everything at once. You are also advised to disable the Find My Phone, Passcode and Touch ID in settings and switch on Airplane mode.
Reports so far indicate the untethered jailbreak is stable and working on the latest iPhone, the 6S.
Interestingly, team Pangu could have made as much as $1 million if it’d submitted its findings to Zerodium, an exploit dealer that had offered that amount to anyone who found and submitted an iOS 9 jailbreak.