to install anything useful to your phone you have to root it. e.g. try installing tethering or VPN apps when your operator image denies it.
also, all processes that involve rooting/flashing will involve one step that you remove the firmware locks from the device, allowing a thief to peek at your data at will even if the phone is password protected.
*downvoters, also contribute to the discussion saying how you enable tethering on, say, a thunderbolt bought from at&t. thank you.
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).
and i wasn't saying 'non-google-store-sources-aka-unkown-sources is a bad thing. i was just saying it's not enough to 'do what you want' with your device.
This is not a valid argument for the average Android user, since they would have to root their device first. Jailbreaking an iPhone would also allow you to install anything you like.