Most high-end Windows Mobile and Android HTC phones have had this (in one form or another) for many years; sometimes you need a custom ROM though (off the likes of xda-developers.com).
I had the feature available on my HTC Universal (albeit 802.11b only, but its still adequate for the net - though it supported G devices, it was only at B speeds), and that was from 2004/2005.
The problem with stock-roms is, officially, tethering is banned by the terms and conditions of all UK networks, so your not really supposed to use it (and they can tell if you are, so don't go handshank it like a full-time internet connection, or they will restrict your speed), so the stock-roms tend not to have it. It is disabled in the official o2 ROM for the TouchPro2 but im actually running on the standard HTC WinMo 6.1 ROM now and it has it, so even if the phone doesnt have it as standard, the HTC UK ROM will probably have it. Generally, any HTC phone with Wifi can support it, but its best to check over at xda-developers.com.
A colleague bought a Samsung Galaxy S-II the other day, and that has it, so it's likely a lot of the Samsungs have it.
And most WinMo SE devices were built by HTC, so have xda-developer ROM's available for them with it enabled.