Not sure how long these instructions will work for, but in response to O2 charging £15 a month to tether an iPhone to a PC - and yet still claim the contract carries "unlimited" data use (aka #02fail) I have downloaded, tried and proved these steps both work and are simple - and the iPhone doesn't need to be "jail-broken", in fact it barely counts as a hack. 

I guess the usual disclaimers still apply though: this may not work, it may break your phone, it may make 02 angry, it's at your own risk etc. etc. etc.

Here are the steps I used:

1. Backup your iPhone using iTunes (right-click phone and choose "Backup Phone") - just in case
   
2. Using the iPhone, start Safari and visit http://help.benm.at
3. Scroll down the page until you see "Mobileconfigs   download>" - select it
4. Scroll to the bottom and choose United Kingdom - select it
5. On the last page select your appopriate network ("O2 Contract" for the vast majority)
6. Click "Install"
   
7. You will be asked if you wish to download and install an un-verfied Profile. Select "Install Now".
8. After a few moments you should be done
9. From the main menu of the iPhone choose Settings > General >Network and you'll see a new option "Internet Tethering" - turn it on
10. Select it and it's straight forward enough: if you want to use bluetooth pair your phone with your PC/Mac in the usual way, if you want to just use a cable you can skip this step and plug your USB cable in.
    
11. Your iPhone should be recongnised as a standard modem, just coax it through installing if necessary. It makes a new network adapter.
12. Once paired & connected you should be able to surf the internet from your laptop - if you have 3G it will be nippy, if not it will test your patience - as normal.
13. Your right to unlimited data is returned.  Just don't abuse it, we don't want this being clamped down on by the bean counters at O2 :-)