AT&T does not currently allow tethering on the iPhone even though Apple's iPhone OS 3.0 includes the feature. The company is still deciding what a tethering data plan for iPhone would cost and how it would be structured.
Tired of waiting? If you have an iPhone 3G or 3GS running OS 3.0 and a computer running iTunes 8.2 on Mac OS X here's how to activate tethering. You will be able to connect your computer to the AT&T data network using USB or Bluetooth via your iPhone.