I just got a nice new 32 GB iPhone 3G S yesterday from the Apple Store in Sydney. It's quite an interesting shop, but that's another story. Anyway, my hotel doesn't have wireless internet in the rooms which is a pain in the butt, so I was wishing I had one of those 3G modems. I had heard of hacking the iPhone to make it a 3G modem, but now I find out it's legit! It's called Internet Tethering. Here is an article that I followed to set it up.
http://blog.cameronlaird.com/2009/06/easy-internet-iphone-tethering-with-telstra.html
Make sure you read all the comments etc. before getting started as some of the links are mixed up. I got mine working with the telstra.internet not the telstra.iph one. Also I am using the USB connection as bluetooth would just chew up the phone battery.
It's nice and fast and means no more need for those 3G dongle things.