Ensure that you have an unlimited data plan if your plans entail downloading a fair amount, as it can be quite expensive when tethering. Some providers support it, while others do not. For example, I have US Cellular and they support it. It works good regardless of the quality of the coverage (i.e. bars), but it's no DSL or cable connection.
YES, if you iphone is jailbroken, thers an easy app you can get on cydia, i believe for free, if not it wont cost more than 5 dollars, works great! i think its called, wifi unrestrictor or wifitethering, look it up