MuscleNerd has announced that the current release of RedSn0w can perform a tethered jailbreak of older devices on iOS 5.1.1.
On the other hand, tinkerers with older devices can tether jailbreak 5.1.1 using last month's redsn0w (just pre-select the 5.1 IPSW)
You can download the latest version of RedSn0w from here.
Those with newer devices (iPhone 4S, iPad 2/3) or with an untethered jailbreak that they would like to keep, should not update to iOS 5.1.1.
How to jailbreak iOS 5.1.1 with RedSn0w 0.9.10b8b
Note: This is for A4 devices only.
Step 1: Download the latest version of RedSn0w 0.9.10b8b from our download page.
Step 2: Connect your device to your computer, place your device into DFU mode, and run RedSn0w.
Step 3: Go to Extras > Select IPSW > and point to your iOS 5.1 firmware for this device.
Step 4: Once RedSn0w successfully identifies the 5.1 firmware, head back to the main page of RedSn0w and click Jailbreak.
Step 5: Once it identifies the build, click Next where it asks you to install Cydia.
Step 6: Cydia will be installed, and your device will reboot. Upon reboot, place the device back into DFU mode.
Step 7: Perform a tethered boot via RedSn0w by going back to the Extras page and clicking Just Boot.
Step 8: Your device will reboot, and you will have a usable Cydia icon on your Home screen.
Note: This is a tethered iOS 5.1.1 jailbreak. Once RedSn0w is updated for iOS 5.1.1 you will no longer have to follow step 3.
Remember this is only for iOS 5.1 jailbreakable devices. Meaning it won’t work with the iPad 2, the iPhone 4S, or the new iPad.
And here is a video for it: