You've been able to tether your iPhone's data connection to another computer for awhile now, but it would cost you $20 per month for the convenience or you'd need to be jailbroken to get the service to work. Tether.com just figured out a way to circumvent the problem using HTML5, so you can use their new web app to tether your iPhone wirelessly without any fancy hacking necessary.
The video above will walk you through the whole process, but it essentially involves downloading the Tether app for your computer and visiting tether.com/web on your iPhone. On your computer, you'll first create an ad hoc network using the Tether app. This is a mostly automated process, but you'll need to choose a very specific password (or opt to have none at all). You'll then head into your iPhone's Settings app, choose the ad hoc network from your Wi-Fi options (it'll be called tether.com:YourComputerName), and then visit tether.com/web in Safari. From there you just log into your Tether account and everything should connect in a few seconds. Assuming everything goes to plan, you'll be able to use your iPhone's data connection right away. Sweet!
If you don't have a Tether account already, you should know that it costs $15 for the first year and $30 for subsequent years. This is already less than the monthly fee you'll have to pay your carrier. While jailbreak apps and your carrier's tethering option will be a bit easier and offer more features, if you're looking for an inexpensive way to tether your iPhone without jailbreaking this is definitely the way to go.
Note: When testing, things didn't work as planned the very first time but I had no problems after starting over and trying it again. If you have difficulty, just start over from scratch (which only takes a few seconds) and you should be good to go!
Tether for iPhone | Tether.com