Yep, the only problem is that technically you're breaking the terms of most contracts by using the data service with other devices.
Of course, this should stop no one.
Also, I would encourage anyone who would even consider BUYING a software add-on that permits tethering to make a quick jaunt over to xda-developers.com and flash a new ROM onto your device that will give you that native functionality of Windows Mobile (5 and 6 both have internet connection sharing native in the OS) but will also give you better performance and features than your phone vendor would ever care for you to have access to.
ALSO, you can tether using bluetooth, so as long as your phone is on you can get to the internet from your other bluetooth-enabled devices like your netbook or laptop and without all the battery drain of provisional 802.X wifi.
It's just crazy that phone companies would create this "device" to charge you for what you've already got in your pocket.
If you've got a WM phone do yourself a favor and log in to xda-developers.com.