PdaNet is a traveler's dream. The full version ($19) of this tethering app allows you to give your laptop full online access anywhere you have cell service. Once installed, it's simple to use, and it works quite well. The free version offers limited functionality: You'll be able to use the Web, but secure (HTTPS) sites and applications such as e-mail, messaging, and Twitter programs probably won't work. The full version (which you can unlock in the free version with a serial code obtained upon purchase) is essentially like having a portable DSL connection.
The first time you start the app, it tells you to install PdaNet on your laptop as well; the whole thing is a simple process. Afterward, you just attach your phone to your computer via USB, click the connect button on your phone, and do the same on your computer, and you're up and running. Android 2.2 offers USB tethering, too, but as of right now Mac users (like myself) can't take advantage of it. Plus, some wireless carriers charge extra money for tethering--PdaNet essentially circumvents that.
PdaNet also claims to allow Bluetooth Dial-Up Networking, but my unrooted Droid didn't want to let me do that. I've been told that the function works decently well on other devices, though you will get faster connection speeds and less battery drain using USB.
I recently took a 12-hour train trip, the perfect testing ground for this app. Even when I had only so-so data coverage, I was able to get a connection on my laptop that was fast enough for me to stream video of a live event--very cool. Back at home, where I have good Verizon 3G coverage, I got impressive download speeds of 2.51 megabits per second and upload speeds of 0.67 mbps, faster than many DSL connections. If you're on a 4G network, you can expect speeds two to three times faster than that.
You have to be careful not to use too much data through it, as your wireless carrier might not like your tethering for free. It's not illegal; the carrier just might try to charge you more. As I said, though, I have used this program fairly heavily with streaming video, and all has been fine.
Setup is a bit cumbersome. Your computer needs to have Wi-Fi or ethernet access the first time you set PdaNet up, because you need to download and install a program on it. Once you get through the initial setup, though, everything is a breeze.
If you travel a fair amount, you'll almost certainly find the full version of PdaNet well worth the money. It can definitely save you if need to get your laptop online in a pinch.