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are you running 2.1.2? If so, did you execute the patch for this issue?
0000018: SU doesn't work / wireless tether doesn't work - MantisBT
I was having the same problem. I flashed this and it works great now.
rename it as update.zip and flash it just like it was a romHow do you isntall that zip file?
How do you isntall that zip file?

Hey everyone....first post on here. Running Fresh 2.1.2 and I also installed the SU patch. But, when I try to start tethering, the SU opens, but I just get a black screen with nothing asking if I want to allow the app SU privlages and it freezes there until I get the box that asks if I want to FC or keep waiting. I have wiped dalvik and did many reboots and still same results. I was getting ready to update Tether, but from what I read, it's best to stay at version 1.60. Any help on this is greatly appreciated.