Someone has already covered tethering, so I'll just emphasize there are plenty of other useful things you can get by enabling "Unknown sources" without rooting:

Someone has already covered tethering, so I'll just emphasize there are plenty of other useful things you can get by enabling "Unknown sources" without rooting: other app stores (Amazon [noted upthread], GetJar, MiKandi, ...) often with their own exclusives, software under development (Swype Beta, Mozilla's Aurora and Nightly, ...) and so on. Separately, if you managed to buy a Thunderbolt from AT&T you have much bigger problems than getting tethering working. The Thunderbolt is a Verizon-specific CDMA/LTE phone that doesn't support any of AT&T's networks (AT&T's LTE is on a different band).