Depending on your mobile phone model, you can just use the phone itself as a modem. The disk that comes with higher level Sony and Nokia phones will install the necessary modem drivers on your 'puter and you can connect through their software. (Sony-Ericsson PC Suite and Nokia PC Suite, respectively.) You'll need the Phone-US adaptor. Or with some phones you can connect by Infrared if you have it on your computer. My SE 550C will do this, but my Nokia N73 won't.
Cost an be expensive especially when traveling. However, I'm the wrong guy to ask. Why? Well, I don't know how this happened or why it happened, but I have had the same cell number for almost 6 years. About two years ago, I was suddenly granted VIP status. Still not sure how it happened, all the messages about this were in Chinese and what the benefits were, were like-wise in Chinese. I was first given a VIP card and later a new VIP SIM card. There are a few benefits I am aware of (such as I can use the China Mobile VIP Lounge at the airport and there are some China Mobile VIP lounges around town where I can run in, add money to the phone, recharge the battery, have free coffee or tea, etc.) But here's the best part - since I became a "VIP" (in their mind) every month my phone bill comes I get the itemized charges, for a total of, say 500 then I get a "discount" of say, 300 so my total bill is 200. It took me awhile to figure out that the discount every month exactly matches the charges for GPS and for Internet modem service. In effect, I get free use of my phone as a modem. It's the same thing every month. The discount equals the amount of online charges. It's been this way for about 2 years. None of my Chinese friends use their phones as modems so they're not sure what's happening, but they translate the charges and that's what it is. I (we) don't want to ask. The only spanner in this is that the total charges accrue through the month, so you need to keep the money on the phone topped up. The discount is taken off on the date of billing (usually the 5th or 6th day after the end of the month). Anyway, if you've had your number for a long time, look into the VIP service. As I said, I don't know how it happened or how I qualified, it just happened one day and I've been happily interneting through my phone and laptop ever since. For free.