We have two major tethering application for iPhone.

One is PdaNet, and another is iPhoneModem.

PdaNet uses so much resouces while tethering, but it seems to be more stable and reliable than iPhoneModem.

I prefer PdaNet though iPhoneModem is distributing the tiny app "iPhoneModem.app" which creates Ad-hoc network automatically. This app is so useful with PdaNet.