If you have an iPhone, the Personal Hotspot integration is surprisingly seamless, albeit not ideal.
I am convinced that it is the Qualcomm royalty situation that keeps Apple from shipping a cellular modem like Dell does.
Well the wifi burns extra energy, but there's also the "plug them together with a USB cable, hit the USB tethering button, and everything works" option.
(Even if it was reliable, I would rather not have to click anything and pass every packet through another radio powered by another battery. I want my laptop to have my emails downloaded when I open it, just like the more "consumer" devices Apple ships.)