For those under AT&T's iPhone data plan, Internet Tethering is still possible according to some reports and test circulating on the web. This however is done via some complicated procedures. So, if you can't wait for AT&T to enable this feature you can try this other method.
Internet Tethering involves mobile data costs. In addition since the iPhone is running on 3G connectivity, don't expect too much speed when you are connected online. It's not as fast your Wi-Fi or broadband connectivity. Nonetheless, it still is a good feature to use especially if you are in a place where Wi-Fi is not available.