@magicalclick: Yeah, I've heard that those break with the latest public build.
You do know it's beta software, right? And a real beta, not a Google beta.
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Is your APN set correctly for your network?
That's my vote too. The wrong APN will prevent any cellular data from working.
@DeathByVisualStudio: The UI has been getting gradual improvements since the first preview. It started out basically being Windows 8 with a start menu. Now it's got a responsive menu and much better Metro-app support. We'll get there, but I wouldn't expect a feature lockdown/consumer preview until at least June, with formal release happening sometime in October.
I disagree with you that the UI is a disaster. I think it needs some major tweaking, and I'm sure they're working on it. The build we have is months old at this point.