I use Vodafone UK's GPRS service from my Sony Ericsson T68i. This is some stuff that I needed to know to make it work.

Configuring the phone
The only real issue with sorting this out was that Vodafone provided almost no information about GPRS.
It turns out that WAP access and Internet access are separate services, and so you can't use the WAP profile that Vodafone can SMS to you for Internet access. It has also been rumoured that a paid GPRS subscription is required for Internet access to be available.

The important information is: Everything else is automatic. You can now specify that an email profile uses this connection.
Using the phone as a modem
Whilst being able to check a POP account on the T68i is kind of useful, the great benefit of GPRS is getting sensible data rates to your laptop or handheld when you're travelling.
The T68i can work as a modem using a cable connection, infrared, or Bluetooth. I have sucessfully used IR and Bluetooth. This is really pretty straightforward, except that you need to know one obscure piece of information. Providing that you have enabled either IR or Bluetooth on the phone and the PC, and your PC is configured to treat the connection as a virtual COM/ttyS port, using the phone is just like using a dialup modem. The CID can be found on the T68i by going to Connect->6.Data comm.->1.Data Accounts and selecting the GPRS/Internet account. The CID is shown as option 3.
Use web/web for the dialup username/password. Blank user/pass should be OK, but your dialler might not like it.