Using my Jailbroken iPhone, I have the option to tether over Bluetooth, Wifi or USB.
Tethering over BT only allows you to connect to one device at a time Vs. Wifi that can connect up to 5 (I think).
I haven't seen any decrease in speed, I actually find it to be faster and less troublesome when tethering sometimes.
Bluetooth should also be better on your battery.