I know there is a tone of good apps for the iPhone but I give this particular a A++. MyWi is a cool and very useful iPhone app that enables to use your Iphone as a WiFi Hotspot to share the iPhone's internet connection with several computers. I installed MyWi on my new iPhone 3gs few days ago and have been using it since on the go and it worked perfectly. If you get a strong 3g signal the speed is very acceptable and it supports VPN. All of that for less than $10.
The only caveat is that the iPhone needs to be jailbroken to be able to install this app but the jailbreaking process is easy. Just wanted to share the info.
http://www.rockyourphone.com/index.php/mywi.html?feat=y