A friend of mine has a vodem (that's a USB HSDPA modem that works with the Vodafone NZ network). I borrowed it and tried it out on my Jaunty (Ubuntu 9.04) laptop at home.
I was confused initially since I had no manual or anything else. My friend said that on windows there's a CD, it installs a bunch of things and then just works. I didn't think to ask if authentication via login/password was required.
After some messing around, I found a hint on ubuntuforums that pointed me in the right direction. NetworkManager in Jaunty automatically detects the modem. It even automatically detects the network. It then presents a dialog asking which country (NZ is already default selected) and which Network to use. There are three networks ("Vodafone", "Vodafone (restricted)", and "Vodafone (unrestricted)"). My confusion was that I chose the first and the modem immediately disconnected.
I should have chosen the third. Upon choosing "Vodafone (unrestricted)", the vodem connects immediately to the Vodafone network and then just works. No further management needed. This is pretty cool. Too bad vodafone data charges are still so high. When the data charges drop by a factor of 10, this will be a real player. For now, it's a nice toy that I'm soon going to return to its rightful owner.