PDANet from June Fabrics has been a real life saver for me. I use this software essentially everyday with my Samsung Q1 UMPC and it allows me to USB and Bluetooth tether my EV-DO enabled smartphone for use as a modem. I personally prefer USB connections because I get the full bandwidth available; Bluetooth provides me about 30% of the throughput.
I was nosing around on the PDANet site for Windows Mobile and saw this little tidbit: "New! Version 1.72 adds support for GSM/GPRS devices such as T-Mobile MDA or Cingular 8125! It also supports Vista and Bluetooth/InfraRed connection through ActiveSync."