While traveling in Mexico I bought a TELCEL SIM card in order to use my AT&T unlocked phone. After activation I discovered that the celular plan worked but the celular data connection was not working. After messing around for several hours on both my and my girlfriend's iPhones I discovered the problem was AT&T tethering hack I'd installed. While it provided a great service for tethering while in the states, it was blocking my celular data connection with TELCEL.
It can easily be removed in Settings>General>(Network?)>Profiles.
I'm not sure if the tethering hack affects any other international carriers. I travel a lot and have used my iPhone in Thailand, Vietnam, and Laos with local carriers. That was before I upgraded to 3.1.2 and set up the tether hack. I use MyWi to tether here in Mexico and PDAnet while in SE Asia. Hope this helps people with Internet connectivity issues.