So, the Tether app from the App store is IMO, the last resource I'll use if I have no other way of tethering. It sucks, I mean in order to use it, you have to have already downloaded a corresponding app on your computer to pair with the app on your iPhone...just a bother. So MyWi blows Tether out of the water in terms of functionality, though you have to pay a price for it.
My personal favorite tether app is the Cydia app called TetherMe. It is way cheaper than MyWi and it does both personal hotspot/bluetooth/USB tethering. It actually is so simple that it is not a distinct app on your phone, all you have to do is go into the stock Settings Personal Hotspot location and turn it on like you would if you were paying for ATT hotspot capability. I love it.
PS: I too have the Tether app, but I only got it for the case that I don't have a JB on my phone.