I bet AT&T will lock it down.
I don't know about that... none of the last 4 smartphones I've had from AT&T have had it locked down. My current one (Touch Pro) throws up a prompt asking you if you want to tether each time you plug in a USB cable.
Actually, when you plug in a USB cable, it gives you a choice of a)Activesync b) Disk drive mode, which shows your microSDHC card as a drive in windows and c) Internet Sharing, which is the tethering mode.