One thing that separates Android phones from any other device is the ability to gain root access and customize the phone from the inside out. Cyanogenmod first found its place on the HTC Dream, bringing the first of its AOSP features to a mobile phone.
This AOSP ROM, which stands for Android Open Source Project, offers Android users a custom built code and firmware that creates a fast and stable ROM praised for its stability and increased battery life. The creators even went as far as including their own special features baked in to the ROM itself. Some features include a built in performance tweaker that allows overclocking and underclocking of the CPU. They also added a Spare Parts toolbox that provides a set of hidden "developer's settings".
The latest work of Cyanogenmod is based off the latest 2.3 Gingerbread firmware. The latest rom is sometimes better known as CM7.
A list of new features are listed here: http://wiki.cyanogenmod.com/wiki/Changelog#7.1.0-rc
Some include instant wifi tethering and background gesture actions.
I have personally gone through three android phones, starting off with the original Motorola Droid, upgrading to a Motorola Droid 2, and finally settling with the amazing HTC Thunderbolt. Being a tech freak as I am, I would sit and flash different ROM's on a nightly basis, testing out new ones to see which one would fit me best. The original Droid lacked speed and performance, but the Cyanogenmod ROM was able to decrease lag and speed up performance. The Droid 2 was all too smooth with CM7. It already had great battery life, but CM7 made screen transitions smooth and applications much quicker. There are a lot of new ROMs coming out for the HTC Thunderbolt, but nothing beats the expertise of the CM7 developers.
A list of eligible phones are listed here: http://www.cyanogenmod.com/devices
Try it out. You won't regret it!