It depends on your phone, and your network.
I've had no problems making data calls in the UK with a nokia 7110 and 8210. In both cases, I used an infra-red link from either a palm PC (Philips Nino) or Laptop PC.
No problems at all - nice stable 9600 connection.
Not all phones support data (they may not have infra-red or a cable port, or they may simply not support data). Not all networks offer data calls as standard.