I ended up ringing Vodafone as my settings weren't working, and the automated text service didn't reply back with the settings (see bugs and glitches thread). Although the CS guy said the phone wasn't supported he talked me through my settings, and in the end, after a reboot, the 3G is working fine.

The settings for Vodafone UK 3G pay monthly are thus:
Connection name: Internet (didn't change)
Access point name: internet
Type: Internet
Security
Username: web
Password: web

Oh and I'm on a business plan, If it still doesn't work for you, then ring Vodafone for the consumer settings.