Is only sometimes successful connecting with NetworkManager - when you right-click NetworkManager icon the "Enable Mobile Broadband" option only sometimes appears for you to click and connect.
Doesn't matter how long you wait.
EDIT: January 2012: updated Network Manager from 0.8 to 0.8.4.
Uninstalled network-manager and network-manager-gnome from Synaptic Package Manager.
Added the network-manager daily build ppa for ubuntu lucid main from
https://launchpad.net/~network-manager/+archive/trunk and updated.
Since then Network-Manager is showing the "Enable mobile broadband" option when I plug in the modem more consistently. It it doesn't appear, I enter in a terminal: sudo killall modem-manager
... wait ... then it usually appears.