Got a new US iPhone, which kept claiming I had no cellular data plan. Which of course turned the iPhone into a glorified iTouch, since I couldn't get data.
Finally, on a stroke of inspiration, I figured out that since I also had a non-US iPhone synced to my computer, it must have somehow screwed with the APN of the new iPhone. Apple's online support on this wasn't much help, since while it helped me verify that I might indeed have figured out the source of the problem, "editing the Cellular Data Network settings is only available on authorized unlocked iPhones or with carriers that allow modifying the APN details" i.e. not on a locked AT&T iPhone. But I managed to edit the APN settings anyway. I wonder if Apple/AT&T would consider it wrong that I did so, just in order to get the cellular data service that I was paying for?