A few points:
1. iPhone tethering is normally configured on your phone by your carrier so they can charge you extra over your normal data connection (typically £10 a month or so).
2. It's possible to configure an iPhone to use use the standard data connection for tethering, but a) you possibly need to jailbreak it, and b) your carrier will get upset if they realise you are doing this (which they might if they check your network traffic for any reason).
3. Other smartphones such as Android and windows mobile devices allow easy tethering using your standard data connection. However, you can easily go over your data allowance if you use it often and get charged. Your contract might also have a small print condition that says 'no tethering', in which case your carrier might try and charge you lots if they think that's what you are doing.
That all said, I tether my phone to my laptop and other devices fairly regularly without paying any extra (on orange), but I don't use a huge amount of data while I'm doing it.