Just so that you are aware, MyWi won't drain the battery either when connected to the computer while tethering using USB on an iPhone 4.
You are right, of course.
A lot of the time I am using my laptop and tethered iphone in cafe's, in the car, on trains etc without access to power, which is why I prefer using the bluetooth connection. It drains the phone battery less -and also preserves the laptop battery too!
Of course with the shiny new iphone 4, and the newer macbook pro's, the battery issues are less of a problem than they were historically, but still......