It turns out that the long-awaited tethering option on the iPhone (in the US anyway) is just around the corner. MacRumors discovered that there is a new configuration page for setting up Internet tethering via the iPhone inside of the latest beta of iPhone OS 4.0. The feature isn't actually enabled yet; as you can see in the picture, you'll need to call AT&T to set up the service (which, of course, will come with an additional charge). But the framework is in the latest version of the iPhone OS, so when that version gets released, presumably sometime next month when the new version of the iPhone is rumored to arrive.
As you can see in the picture, we're talking about a 3G connection. I find it hard, if not impossible, to believe that this will work over my 1G iPhone's EDGE connection. Since we already know that some features of OS 4.0 won't be working on anything other than the 3GS, it's likely that there will be limitations on the number of phones out there that can actually use this service.
Of course, the beta is still being tested; it's not an official release, and obviously, the service isn't set up yet, so don't throw out your various Wi-Fi or EV-DO subscriptions prematurely. However, it seems like we're closer than ever to an official tethering solution from AT&T.