Before you can connect your iPhone 4 to your iPad, you need to purchase the Hotspot plan from your carrier. After you do you will see new Personal Hotspot options in Settings. Neither bluetooth nor wi-fi tethering is possible until this Personal Hotspot is enabled. (You might be able to pair them, but it still would not tether).
It is possible to enable the Personal Hotspot by jailbreaking. You can read more about jailbreaking in the Hacking section. Go through the stickies at the top of the thread (or separate tab int the iPF app) before asking questions there.
A search will also net you a multitude of threads on tethering, jailbreaking, and other issues related too.
Be aware that tethering without paying for the extra plan probably violates your carrier's terms of service, and they have been known to occasionally catch and bill offenders.
As far as your Droid goes, when I had mine it was exactly the same deal. Most carriers (in the U.S.) expect you to pay for a hotspot plan. You can root and bypass the carrier's activations, and they will react exactly the same way if they catch you and decide to do something about it.
Both AT&T and Verizon charge extra for tethering (and an extra 2GB of data to your plan). I'm not sure about the others.