Unlocking your bootloader to install a custom ROM is actually incredibly simple. You need to do a few things:
1. Create an account at htcdev.com
(make sure to use a valid email address because they will send you a file as part of the process)
2. Login and then from the main page select the "unlock bootloader" option and click on the "get started" button.
3. Scroll down through the list and select the "all other supported models" option. DO NOT select the HTC Evo 4G+ for Korea Telecom.
4. Follow the step-by-step instructions that HTC has printed on the web site.
Honestly, the most difficult part is probably just getting the Android SDK (and specifically the platform-tools, which includes the adb and fastboot commands). Otherwise they did a fantastic job outlining the process. If you're still not convinced then here is a youtube video to walk you through the whole thing:
[UnLock] How to Unlock Evo 2.3.5 Bootloader 2.18/4.67.651.3 New! - YouTube
NOTE: Unlocking your bootloader will reset your phone back to factory defaults so be sure to backup whatever you need to your SD card and/or your computer first. The process will NOT wipe the contents of the SD card.
Once you have unlocked your bootloader you simply need to install a custom recovery (I recommend Amon RA 2.3, as do most people) and then you can flash custom ROMs. If you're interested in removing the watermark and achieving S-OFF (security off) then here is a great guide to do so. If nothing else it will at least tell you how to install a custom recovery:
[GUIDE] How to achieve S-OFF after unlocking 2.18 HBOOT with HTCDev.com - No More Watermark!
S-OFF just means that you have access to more things (such as flashing radios). Also, it means that the /system mount point can be changed to read/write mode while running. With S-ON you cannot do this, so if you want to overwrite or delete any files you have to do it all via recovery. Sometimes things are much simpler and quicker to do with adb, but you'll need S-OFF in order to run the "adb remount" command and obtain read/write privileges.
It's up to you though. As Captain Throwback says in the guide, "If you don't know WHY you want to be S-OFF, then you probably don't need to be."