FWIW, O2 in the UK don't permit tethering with any phone on a bundle: For phones that support it you face getting charged the full per MB charge if you tether, even if you have a web bundle. They don't sell a bundle that will let you tether (they used to do the Web Max bundle for this but don't any more) - if you want tethering you are expected to get a mobile broadband USB modem and package.
I know this because I have had lengthy discussions about it for another phone, including with the Executive Office and they simply do not allow it: I offered to pay the £20 per month that Mobile Broadband costs if they could add it to my phone SIM but they wouldn't even do that.
The bottom line is anyone tethering on O2 (either with an iPhone or any other phone) is taking a big risk and could end up with a massive bill...