We tried the Vodafone Pay as You Go, T-Mobile one and the 3 one. Vodafone was a nightmare, much like all things Vodafone and in order to use it had to disable a load of functions on the PC...it took 4 hours of phone calls for them to work this out and 3 days for it to actually work.
T-Mobiles was ok...it took a long time to work though.
The USB modem from Three just plugged in, had some credit on it already and worked perfectly. Am sat in the middle of nowhere in Yorkshire currently using it on HSDPA (Turbo) mode with 3.6mbps and used it most of the way up the M1 from London on Thursday night with very few blackspots and HSDPA most of the way.
Am so impressed with this one and the customer service and price of Three!!!