Tethering is really useful if you're out and about and can't find free wifi. It allows you to broadcast your mobile phones 3G or 4G data signal as a wifi network, so you can connect your laptop, tablet or other mobile device to use the data signal. Essentially transforming your phone into a fully functional wifi hotspot.
The app you'll need to download is 'Foxfi' (linked below). Upon starting the app you will be given a basic UI with a list of options you can change such as security passcodes and the networks name. It's all pretty self explanatory if you've ever used WiFi before. After adjusting your settings, hit the activate button and you're good to go!
This method should gain you free tethering access, similar to that gained by rooting your device and running popular apps such as Barnacle. Your network or carrier will usually charge for tethering but this method circumvents that. It's a question of ethics if you want to use this method - oh, and your data cap won't change on your plan so be prepared for light browsing only!
This app won't function properly on HTC phones or the original Motorola Droid/Milestone