I don't believe you can use Bluetooth. But some phones (ex. my Samsung Galaxy S) allow you to set up a Wifi hotspot or USB Tether to other devices. This would be in the wireless/network settings somewhere. Some phone carriers disable this unless on your phone (if you bought it through them) unless you pay extra for it in your plan though.
Edit: apologies.. I stand corrected on Bluetooth, and didn't think about jailbreaking getting around the phone carrier locking of the tether feature.