Check out the conversation that I had in the following thread:
Unrooting the HTC HD2
The process to do this is really quite simple. Typically it involves installing a Hard SPL, changing your radio version, installing MAGLDR, and then flashing whatever ROM you want. After that you need to enter your APN settings in order for 3G data to work.
The difference between Froyo (2.2) and Gingerbread (2.3) is really a decision that you need to make. I have helped a few people install the prj Clean Desire ROM and everyone seems to really like it. It's Froyo based so it's a little bit older, but it's super fast, has the HTC Sense UI on it (which in my opinion is a little more user friendly than the stock Android UI), and everything works really well. The only thing you can't do is take videos in 720p (though other videos in other resolutions work fine).
As far as bricking your phone goes -- just makes sure that you flash a compatible radio version. Everything else can be changed/flashed back to defaults but if you flash the wrong radio then you can brick your phone. For example, don't flash the European Windows Mobile 6.5 images for the HD2 on a T-Mobile (US) HD2 and vice versa.
If you look at last post in the above thread you'll see links to install HSPL 2.08 and radio version 220.127.116.11. These have been installed by tons of people and I have personally flashed them without issue. They will work just fine for you. The links include videos showing the installation process as well.
MAGLDR is easy to flash (see post #9 in the above thread) and then from there you hold the power button down as the phone boots to get into MAGLDR. Most ROMs are installed by selecting option 4 and running an executable. If you read through the above thread all of the steps and information you need are there (though perhaps slightly out of order) to get you up and running with the prj ROM. Give it a shot and if you don't like it then you can always look at flashing a different ROM like CyanogenMod, for example.
If you have any further questions don't hesitate to ask.