I picked up my factory unlocked iPhone 3G[S] on a trip to Malaysia in September. To my pleasant surprise, Internet tethering, and MMS were already active and working quite well in Malaysia.
Upon arriving in India and popping my Airtel SIM into the phone, the phone worked fine but no data was working. Since the 3G[S] isn’t officially supported on Airtel or any Indian carrier, I could not set the EDGE network settings. Apple removed the ability to change network settings in a previous firmware upgrade. If you jailbreak your phone, I believe there is a way to re-enable the EDGE settings easily. However, if you’re not jailbreaking your iPhone, it’s a little more complicated. I tried to download and install a profile for Airtel that’s usually used for enabling tethering and MMS but that didn’t work.
I then deleted the profile from the phone and rebooted it. Upon reboot, it was working perfectly. I also had to make sure that 3G was turned off. I can’t be sure what finally made it work but I have a feeling it was turning 3G off in the Network settings. Try that first and if you still have trouble, then try using the profile.