Tethering your iPhone for free used to simply require jailbreaking your phone and installing PDAnet, but JuneCloud got wise and has since have since started charging $30 per year for the software.
But don't fret, Gizmodo reports that there are at least two free options for tethering. One is iPhoneModem.de the other is iPhoneModem ($10 gets rid of the nags). The piece notes that there's a third option called 3proxy but that it requires lots of manual configuration.
If you're gun shy about jailbreaking your iPhone in light of Apple's insistance that it's illegal, you'll have to wait for the rumored official tethering from AT&T. Good luck with that.
How do you tether?