The Nexaira Business Class 2 3G/4G Router supports the iPhone 3G, iPhone 3GS, and iPhone 4. The iPhone is plugged into the top of the router which charges the iPhone while it is tethered. It is the only router that currently supports the iPhone, since none of the popular Cradlepoint devices currently support an iPhone connected via USB tether.
The router is available for $189.99 exclusively from reseller 3GStore.
MyWi requires that your iPhone (or iPad) be jailbroken and I’m told that it works like a charm. According to people I know if you load it onto an iPad you end up with a very long-lasting Wi-Fi access point. MyWi only costs about $20 in the Cydia store and jailbreaking is free.
iProxy doesn’t require a jailbreak, but you’ll need a paid iOS developer account or smooch help off of a friend that does in order to use it, access to Xcode, and the iProxy source code. You can install it onto an iPhone or iPad. It works pretty good, but not as good as MyWi or the Nexaira router. Although limited it is free and that can fit just about anyone’s budget.