If you upgrade iOS with iTunes, your device will be un-jailbroken and Cydia packages will be deleted. Before upgrading iOS, make sure a jailbreak is available for the new version.
As of September 8, 2015
No jailbreak for 8.4.1
Currently there is no jailbreak for iOS 8.4.1. Avoid upgrading or restoring if you want a jailbroken device.
If you want to wipe all data on your device without upgrading the iOS, consider trying Cydia Impactor.
For frequently updated news, see /r/jailbreak on Reddit.
Untethered jailbreak for 8.1.3-8.4
TaiG has released an untethered jailbreak for iOS 8.1.3-8.4.
You can download it from http://www.taig.com/en/ for Windows and Mac.
For news, follow @TaiG_jailbreak.
How do I find my current version?
Open the Settings app, tap General, tap About, and look at Version.
(Your device's version is also listed at the bottom of the Cydia "homepage".)