Cydia is just an APT manager. It does what it does. It's not lightening fast but its not like you need to use it on a daily basis, only to tweak your phone. Personally, I think cydia is awesome. Especially now since they handle all the licenses for the apps that were on Rock.
Yes you can tether when you're jailbroken. I have TetherMe ($2) for bluetooth tethering to my computer and I also bought MyWi ($20) in case I need a hot spot. Works amazingly on the iPhone4 because of how good the 3G speeds (up and down) are on it.
If you're thinking of JB'ing a iPhone4, I would personally recommend greenpois0n as it seems more stable than Limera1n was. I've tried both and am definitely sticking with greenpois0n.