What provider, and which version of the 5800?

3G is not universal between different providers, and current phones do not support all 3G bands. For instance, the 3G used by AT&T and T-Mobile are very different, so a phone designed to access 3G on AT&T's network will not work with 3G on T-Mobile's network (and visa-versa).

And if that's not confusing enough, different countries also use different 3G systems, so a phone for another region may not be compatible with 3G in the US.

The RM-428 NAM (North American Model) 5800 has a transceiver compatible with AT&T 3G in the US (850/1900 bands), so it will not work with 3G from T-Mobile, or any other carrier that does not use AT&T compatible 3G.

The European model 5800 works with AT&T in Europe (900/2100 bands) and may or may not work on 3G in the US. There is some overlap as AT&T has support for the 2100 band in certain areas of the US (so it may work if you happen to be in a 2100 area).

The only "5800-like" phone that operates on T-Mobile's 3G is the Nuron (Nokia 5230), which is basically a 5800 with no WiFi.

So even though you buy an "unlocked" phone you are not totally free of carrier dependency when it comes to high speed data support. That is changing, though, as the new Nokia N8 is the world's first Penta-Band 3G phone with support for 3G on all carriers (in all countries).