Same problem for me
I have been having this problem in Glasgow for over a year and no one else in my office is able to access data on their phone even though they have a full 3g signal. I originally posted to vodafone back in Feb and have had no luck using 3g ever at my office. I'm looking forward to cancelling my contract and moving to Three.
http://forum.vodafone.co.uk/t5/iPhone-4/No-internet-access-with-5-bar-3G-signal/td-p/646279