Unlocking the bootloader is a very common thing among the HTC and the Sony devices. An unlocked bootloader allows you to flash custom ROMs, custom kernels, etc. However there is one disadvantage of doing it. In case of Sony Xperia devices, you will lose the DRM keys and also the Bravia engine will stop working.
XDA Forum Member rickwyatt has managed a way to prevent this. The DRM keys and the Bravia Engine are present in a TA partition on the device and there is a tool using which you can backup the TA partition. First backup the TA partition, unlock the bootloader and then restore the TA partition. This will keep the DRM keys and the Bravia Engine along with other things in the TA partition intact. Follow the instructions below to backup/restore the TA partition.