I get a phone through work, but I'm not allowed to tether it. I don't want to have to carry a second phone to get data/internet access.
I do have an 3G express card interface that works in one of my laptops, but turning it into the on-demand internet router for other devices seems a bit daunting (looked at tethering via USB, and turning the laptop into a wifi hotspot.) But, even if it could work it would mean lugging that laptop around which is even bigger than a second phone.
The best choice so far for it's high mobility and out-of-the-box usability looks like a Mifi device, but $200+ exceeds my threshold for pain.