Those of you which had problems with the "Loader" not able to load up Cydia, you will have to resort to manual installation of Cydia using Redsnow.
Redsnow was previously used to jailbreak 4.2.1 but it works with tethered only.
Even with the latest Greenp0ison jailbreak RC5_2, there is slight problem with the "Loader" not loading up Cydia.
Just make sure you have the 4.2.1 firmware for your phone and download Redsnow.
You can get it here on iphonedownloadblog:
http://www.iphonedownloadblog.com/iphone-downloads/
Where do I get the 4.2.1 firmware? It is actually in your Mac if you update it from iTunes. It is located here: user/library/iTunes/iPhone Software Updates
Follow the onscreen instruction from the Redsnow and you should be able to get Cydia installed.