Note: Assumes you have already setup the Raspberry Pi with Raspbian.
The Raspberry Pi 3 / 3+ and Raspberry Pi Zero W are two models that have Bluetooth and WiFi built in. Other models of Raspberry Pi can use a USB dongle to add WiFi and/or Bluetooth. So equipped, any Raspberry Pi (and many other embedded single board computers) can connect to the internet via Bluetooth WPAN a.k.a. tethering or connection sharing. This method avoids tying up the WiFi connection of a phone, or putting sensitive WiFi credentials on an embedded device. This method inherently limits internet bandwidth to the embedded device to about 1.6 Mbps practical throughput due to the legacy Bluetooth WPAN specification.