With the release of iOS 5.1.1, iPhone dev team released updated RedSn0w which can only do tethered jailbreak of iPhone 4S, iPad 2 and iPad 3, but now RedSn0w v0.9.11b4 is out there which works for tethered jailbreak of A4-Devices on iOS 5.1.1.
Update #3: Version 0.9.11b4 completes the tethered JB support for 5.1.1 on A4 devices and earlier, including proper “Stitching” and “Custom” creation of NO_BB IPSWs.
Download Redsn0w 0.9.11b4 for OS X
Download Redsn0w 0.9.11b4 for Windows
See also:
How to Downgrade iPhone 4S, iPad 2, and iPad 3 with Redsn0w
How to Save SHSH Blobs with TinyUmbrella
How to Save SHSH Blobs with iFaith