How To Tether iPhone 3G over AT&T (iPhone 3.0 Required)
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The iPhone 3.0 tethering is via USB or Bluetooth, and won't have that problem.
They seem to have designed it to be as hack-friendly as possible, so even if AT&T wants to charge an extra $30/month, you can get around that by just replacing one of iTunes' resources (no jailbreak required).
Yeah, I have this problem with my Windows Mobile phone. (I use WMWifiRouter.) It is better than nothing, but I wish the USB tethering worked as easily as Wifi tethering.