PdaNet lets you use your Android phone as a mobile modem for your PC or Mac by "tethering" the phone to your PC via a USB cable or via Bluetooth. Tethering is also built into Android 2.2 without the use of PdaNet, but not all phones are upgraded to 2.2. And even some phones that are such as the original Droid, don't have that capability. That's why you need PdaNet. It works on BlackBerry, Palm, and Windows Mobile phone OSs as well.
Note that no matter what phone you're using, you should check the terms of service with your mobile service provider, in case they don't allow you to tether your phone. And if you want to use PdaNet on your iPhone, you'll have to jailbreak your phone.
Note: This link takes you to the vendor's site, where you can download the latest version of the software appropriate to your phone. For the Android version, please see the extended review in the PCWorld Android AppGuide. Please note that the iPhone version runs only on a jailbroken iPhone.