Android 2.2 has tethering built in so, you can:
1) wait for 2.2
2) buy "Pdanet" from the market
3) Root your device and void your warranty
4) Write an app yourself
On the iphone you can
1) Jailbreak your phone remembering apple claims this is illegal
_That_ is why android is more open.
Now _within_ the Andoid ecosystem there are more and less open phones (it's worse for you poor sods in the US, but that because telco's pay their way out of needed regulation)
If you got a Nexus1 then rooting is available with google supported tools (you still void your software warranty though) if you get HTC branded phone it's harder and Moto are really pissy about that sort of thing.
A friend of mine said it best:
"The iPhone encourages you to be a consumer
Android encourages you to be a creator"