I had noticed, as mentioned previously, that it seemed that when I connected my iPhone using Internet Tethering and pumped 100s of MB around, the usage reported on-device in Settings->General->Usage: Cellular Network Data didn't seem to change. I have now formally tested and verified this.
Tested on iPhone 3GS with iPhone OS 3.0 on Rogers Canada cellular network.
If you're using a limited data plan with Internet Tethering, don't use the iPhone's Cellular Network Data usage numbers to determine how much data you have used. I don't know yet how you can find out how much data you have actually used.
UPDATE 2009-06-27: I asked @RogersKeith "any way to find out my current cell data usage from Rogers?" and he replied "Rogers sends out data usage SMS messages at certain thresholds to let customers know how much data they've used." (In case you're wondering how official a Twitter response is, Keith is Senior Director of Social Media and Digital Communications at Rogers, so what he says is official.) Unfortunately the only information I could find online about Rogers SMS Data Alerts applies to their Mobile Internet Browsing plans, which are not the same as data plans. ENDUPDATE
The test is pretty simple: download about 100 MB on the iPhone directly over 3G, and then download the same amount onto a computer using Internet Tethering, and see whether the usage numbers change.
The easiest way to do this would have been to download a 100MB+ TV show, but for some reason the iPhone will only allow you to download TV shows (and movies I assume) over wifi or on iTunes on your computer (even though I have a 6GB data plan and get upwards of 1.5Mbps download over 3G).
It will however quite happily let you download entire albums, so I downloaded the 91.4 MB Perishers album "Victorious".
Test 1: Download over 3G on the iPhone
At the start of the download we're at Settings->General->Usage: Cellular Network Data - Received 266MB
Now download the 13 tracks, 91.4 MB plus overhead.
And we're done (if you're watching the time at the top of the screen, I sat the iPhone on a counter and let it download while I was doing other stuff - it didn't actually take an hour to download).
So now we're at 361 MB, or +95 MB which is about what you would expect.
Test 2: Download on Mac, over Internet Tethering on the iPhone
So after a bit of setup, getting iTunes ready etc., we're at Received 362 MB at the start of the download on my Mac (PowerBook G4 OS X 10.4.11 tethered to iPhone over Bluetooth)
Let the downloading begin (exact same album, 91.4 MB).
and according to the iPhone, we've Received... 362 MB of Cellular Network Data. Change: 0 MB.
Now maybe this is all as intended. Maybe you're supposed to understand that usage shows data received ON the device, not THROUGH the device, but that's a pretty fine distinction, particularly considering there's no way on-device to see your Internet Tethering usage.
On Rogers at least, your Internet Tethering usage comes out of the exact same data plan bucket as on-device, which means you could potentially exceed your plan limit (and start incurring very high per-MB costs) while your iPhone says it is still below the limit.