Just came along this very nice solution, I bought it a couple of days ago and it works great.
It is a self-powered USB UMTS Stick, very small with a internal antenna which can be exchanged for a BIG one, enhancing the receiption. Even with the small antenna, reception is great, better than on my HTC TyTN and Palm Treo 750v.
The USB modem doesn't eat too much performace, you get almost the same battery life like with WLan activated (it has to be turned off when using the USB UMTS/3G modem).
The only downside is: the price tag. I paid almost 49Euro for this little baby but to be honest, it is worth every single cent. It is really small, aprox. the size of half of a cigarette package.
Here's the link to the product, I bought it from a retailer in Germany.
There were also Windows Vista and Windows 7 drivers available on the CD-ROM which came with the modem but I tried to install them and Vista recognized the modem for a couple of minutes but then drops the connection and tells me that it can't detect the modem. Apparently the drivers aren't fully compatible yet, so I'm using this modem with Windows XP Pro only right now. It is however a very good sign that there are already Vista drivers available, meaning that sooner or later, full support without any more trouble will be available.
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