But a lot more expensive
All the ones I have used were expensive industrial spec units with complex data channels.
OR you can buy this arduino shield: http://www.sparkfun.com/products/9607 $100
Has serial port which takes AT commands. Easy enough to drive it.
Costs $20 a shot.
I have tried out. Well documented and you can get the breakout boards for $5 but I forget precisely where. Managed to get it working in UK on O2 pay as you go. Now in junk box :(
Watch out - you need a level shifter if you're using an Arduino or something as it has 3v3 operation. I used an old(er than me) HP lab PSU and a crudely hacked up set of BC548 switches as a level shifter. You need an antenna and a sim socket (my sim was cruely soldered onto 1/0.2 solid wire and plugged into the breakout board header).