Just updated the iOS to 5.1 this morning and now I cannot connect to the internet. WiFi is not available to me right now...
Try resetting you network settings. Go to Settings > General > Reset > Reset Network Settings. This should do the trick - it did for me.
You will have to enter WiFi keys again, but that's the only downside.
You will need to re-enter the network settings. Updating iOS seems to wipe these settings.
Go to Settings → General → Network → Cellular Data Network and enter all fields.
To use a VPN connection, Choose Settings → General → Network → VPN and then choose “Add VPN Configuration”. Ask your company’s IT guy for the credentials.