I just bought a 3G mobile broadband package and used my Sony Ericsson handphone as a 3G modem (save money!) to go online. It is so simple and straightforward to set it up now especially if compared with how I did a similar task two years ago.
I have these:
This is simple, and every step makes sense. Right-click the NetworkManager applet icon in the system tray and select 'Edit Connections...' in the menu.

Select the 'Mobile Broadband' tab, and click 'Add'.

Click 'Forward'.

Select the country and the service provider. The database looks rather up-to-date.

Give it a different name if you wish. Click 'Apply' and you are done!

Plug-in your modem. The Network Manager will then try to detect the device... ('Old-generation' hackers like me tend to wonder what ingenious or dirty tricks are required here, what configuration files need to be edited, whether a native linux driver is available for the modem and then decide to engage ndiswrapper or even wine if necessary... NO WORRY! Save your typing and navigate just with the GUI!)

When the detection is over, click the icon to bring up the menu.

Of course, select the connection you have set up (in my case, 'Celcom'). After a few seconds, the connection should be up! You should disable your previous connection if there is any. In my case, I disable my previous wireless connection. The icon in the system tray now clearly shows that you are connecting via a mobile network.

Clicking the icon shows that the mobile broadband is indeed up now. Click 'Disconnect' when you want to disconnect it.

Simple and easy huh?!
Skip this section if you are not interested in the low-level technical details.
You can use sudo lsusb to check if the USB modem has been connected and detected by your box. In my case, I see the following extra line after connecting my phone:
Bus 002 Device 003: ID 0fce:d0b7 Sony Ericsson Mobile Communications AB
I used another Sony Ericsson phone to connect to GPRS two years ago with an 'old-fashion' way. Some low-level technical details are available there.