I've been using my iPhone 3GS as a modem for my MacBook. This causes me great joy!
CNET's Brian Tong has the instructions in his 6/26/09 podcast of "The Apple Byte":
Launch the Safari browser on your iPhone running 3.0 (and 3.0 only) and go to help.benm.at/help.php
Under "Tethering & Internet Settings" click "download" next to mobileconfigs and follow the directions. It just takes a moment.
Now Internet Tethering will be an option in your iPhone's network settings. Connect your phone to your laptop with the USB cable, then turn on Internet tethering on the iPhone and select "USB Only". Magic!