Sorry to disagree with rhino but it works for me and others. I think it depends on the network and other factors like the weather! Here is a link to a thread with my experiences with mobile broadband and xbox live.
T-Mobile and 360 on xbox live
I have been using my three mobile broadband for 8 months now and while it is not as good as cable or asdl it does work. Rhino may be talking about the problem I was having for last month, it sounds the same. I could only get 3g not hsdpa (3.5G) and games kept disconnecting and were really laggy. After a month of complaining (great customer service three!) they fixed the problem a couple of days ago and told me that it was because they were currently upgrading the network. Since the upgrade the connection quality in games has improved. When I search for games I find a lot more games with full bars and very few with one bar and on COD4 most of the games (except from U.S. games) have 2 or 3 bars. PS3's are better for networking because the processors were originally designed to network U.S. army equipment together (tanks, helecopters and spy planes) so results should be better on the PS3.
bottom line it works but not as good as cable or adsl.
I would recommend mobile broadband to others for gaming only if you cant get cable or adsl, or if you only need it for a few months and dont want sign a contract.