Blackberry and Windows Mobile both have utilities to make tethering dead easy. The biggest problem with a blackberry is going to be that it's not 3G (unless you buy a bold or sign up with a CDMA carrier) so you're going to suffer through very slow internet. A 3G winmob device will get you much better speeds.
Also, with the rate HTC is slamming phones out, you could probably pick up an unlocked WinMob with 3G for significantly less than a blackberry...just look on ebay or craigslist.