An easy way to enable MMS if you're wisely still on 3.0/3.0.1...

The easiest way BY FAR to activate MMS on your 3G or 3G[S] is to point your iPhone Safari browser to help.benm.at/help.php.  From there go to the Mobileconfigs link just below Tethering & Internet Settings and follow the prompts to find your carrier (AT&T in particular).  Download and install it (which will use an onboard carrier settings installer), restart your phone and you should be able to enable MMS... There is no need to mess with actual data settings, although you would be able to...  Both MMS and Tethering should work OOTB.