Android and Windows/Mac/Linux: Most tethering apps require root, or at the very least cost a fair amount of money. ClockworkMod Tether is a completely free wired tether app for unrooted Android phones.
Unlike our stateside cousins, Australian carriers don't generally restrict or charge for tethering (whether on Android or elsewhere), which means you can generally use the built-in options. However, it's worth knowing alternatives if you travel or do run into a finicky provider.
ClockworkMod Tether isn't the first non-root tethering app, but unlike our beloved PDANet it's available for Windows, Mac, and Linux; uses a difficult-to-detect tethering method for privacy from your carrier; and, best of all, is completely free. It's quite simple to use, too: just plug in your phone, start up the desktop app, and it will install the app on your phone and start tethering (yes, you need a desktop app for it to work, sadly). If you're doing this on Windows, it will also direct you to a site where you can download the necessary drivers for your device. Also note that you'll need a USB cable for it to work; it doesn't work wirelessly.
The app is in alpha right now, so there may be some quirks, but adventurous users can check it out right now. Hit the link to download the app, and read more about the new "undetectable" tethering method it uses. ClockworkMod Tether is a free download for all Android phones.