Creations.net has posted an unofficial tutorial on how to tether your Apple iPhone 3G as a wireless modem and use its 3G, EDGE or GPRS internet connection on your Windows or Mac OSX computer.

1) Jailbreak your Apple iPhone 3G. Instructions can be found here.
2) Launch Cydia from your application page and let it self-update
3) Go to Install, All Packages, and find MobileTerminal and 3Proxy. Install both programs and press the Home button. The device will restart and you will find Terminal installed on your home screen. Terminal is a command-line interface (CLI) based utility.
4) Create an ad-hoc WiFi-WLAN network on your notebook. For Windows based PCs, instructions can be found here. For Mac OSX based computers, click here. On your iPhone, join the ad-hoc network. Note down the IP address that is asssigned to your phone.

5) Now start the Terminal program on iPhone, type “socks” and hit Enter to launch the Socks proxy server.
6) Open Safari Mobile browser on iPhone and navigate to any website such as thinkabdul.com
7) Open any web browser (Internet Explorer, Firefox or Opera) on your desktop computer, and go to the proxy server settings. Enter your iPhone’s IP address into the SOCKS (v5) field, and 1080 as the port number.

Your web browser is ready to use your Apple iPhone’s internet connection.

There is another guide at Dragon Forged to tether your iPhone using a GUI based program called TinyProxy.