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I'm going to use the internet on a MacBook 5,2 and I have an iPhone 4 with iOS 4.3.1 and it's jailbroken (and using TetherMe), if it makes any differences.
Fastest to slowest:
Keep in mind the power draw of the options. From most battery efficient to least:
Bluetooth with iPhone's specifications has a max. throughput of 3 MBit/s. So this could be a bottleneck if you get higher 3G speeds.