Can I tether my iPhone to my PC?
UPDATE: Internet tethering on the iPhone 3GS and iPhone 4 is called the Personal Hotspot. The feature must be activated with your carrier at an additional monthly cost. An iPhone 4 or iPhone 3GS can share their cellular data connections with other devices via Bluetooth or USB. The iPhone 4 is also capable of creating a Wi-Fi hotspot for other devices to connect.
UPDATE: The iPhone 3G offers Internet tethering via Bluetooth or USB. This feature must be activated with AT&T at an additional monthly cost.
While there's no official support for this feature from Apple at this point, iPhone hackers have developed a method to enable EDGE data sharing via a SOCKS proxy server and WiFi.It's important to understand the implications of hacking your iPhone, like all unapproved iPhone activities, be sure to carefully research the process before implementing it.
For more information, read the post Hacked iPhone Tethers EDGE data over WiFi.