I called AT&T yesterday and had them upgrade my account to tethering seeing as I'll be without wifi for a few weeks... Afterwards I tried to set it up via bluetooth with my computer and noticed that under system/general/network there is no option for tethering. After doing some research I found out that I needed to update the carrier settings via itunes. I plug it in via USB and load up iTunes and nothing, no update for carrier settings, however I did need 4.02. After doing that once again no tethering setting on phone. After talking to Apple, the guy had me reset network settings (which did nothing) then do a restore on the phone. Well, after doing the restore not only was I still unable to use tethering, but I can not access anything internet related over 3G. I've done two restores since than and its the same thing. I called AT&T to see if they ****ed something up on their end, but they're closed now. I'm glad I wasted having the unlimited and paying $15 more a month for this 
