well, im running on 4.01 M33-2
and the extra features present in this are
LocationFree^TM Player
Skype (u need to buy Skype compatible set of headphones for this feature.)
Remote Play
RSS Channel
Internet Search
well, those are the noticeable differences+i dont really remember which ones were not present before upgrading your firmware version.

also, you get new cool visualizations for your music player. other than those, i dont think i know or notice any differences.

well actually u guys can softmod them yourselves just that its risky and u guys might brick the psp.
for more info try pm playboy21 or wetfusion for the steps. playboy even saved the steps in a .txt format so he can copy n paste the solutions here. too many people asking the same things.
the price depends on the game shop also. some charge so expensive, but there's this shop at downtown that does it for +-RM30.
and it depends on the mobo too. currently u cant softmod the  ta-088 v3 motherboard.
just buy an already modded psp from game shops, no need to mod it later.