Ways to connect Arduino / Microcontroller to the Web?
There are GSM shields for the Arduino, yes. But as far as using it as a hotspot for your phone, most likely not. I doubt you can connect your phone to the internet via the GSM shield because you'd essentially be stealing data from a network provider. 

However, some of these shields have a SIM card slot so you can place your SIM card inside the device to connect to a network and you can essentially allow it to have the same functionality as your phone and you could make a hotspot that way. For instance, you can send text messages with the shield or you can connect to the internet with the shield.