Geez guys, you're getting pretty scattered here. Let me summarize with that I know I can personally do on my machine.

My equipment:
1. MacBook Pro 17" with 2.33 GHz Core2Duo and 3 GB of RAM
a. OS X 10.5.2
b. Microsoft Office 2008
c. Mark/Space Missing Sync for BlackBerry 1.03
2. Parallels 3.0 build 5584
a. Windows XP Professional Service Pack 2, all updates applied
b. BB Desktop Manager 4.3
c. Microsoft Office 2003
3. BB Curve 8310
a. OS 4.2.2.184
b. AT&T Service

My capabilities:
1. USB to Parallels: Sync, tether, transfer files, install apps, update OS, etc.
2. Bluetooth to Parallels: no point, haven't tried.
3. USB to Mac: Sync and transfer files.
4. Bluetooth to Mac: Tether and transfer files.

While tethering to either the Mac or Parallels, it is in fact possible to share the internet connection with the other OS. However, this is a big PITA. You must have your Parallels VM Network Adapter set to the "Shared networking" mode and this causes a few problems.

1. It seems that more often than not, both the Mac and PC side fail to get DHCP information from the other. So this requires some static IP assignment. Each time you enable/disable internet connection sharing on each OS, the IP schema can change, so you have to reset static entries each time.

2. Using "Shared networking" mode on my virtual machine prevents me from connecting to my work VPN, so I just don't use it.

So pick your mode of operation. It will depend on what capabilities you want on each OS. You can have full functionality on both sides, just that simultaneously on both side may be cumbersome or simply not practical.

Further, tethering with an Edge device is very painful. Can't wait for 3G BB's. Until then, I just don't tether unless I really have to. And when I know I'll really have to, I bring my Windows Mobile handset and swap SIMs!