As everyone mentioned you need an APN "Internet" named "Android." But that should no longer be true of the latest rootfs builds and that is probably not your problem. ANYWAY, the *real* point is that you make sure your MCC & MNC are correct under Settings->Wireless & Network->Android (or 'CMDA generic', or whatever your APN is titled) and set your MCC & MNC appropriate to your carrier, if they are not. Quick google suggests: 311 & 230 or 310 & 080 might work for you.
If you're having issues, I highly suggests you pick up the latest kernel and rootfs, I fixed the double-tap in the kernel driver saturday but bzo came up with a cleaner solution that has been merged. MrPippy has changed some of the radio code (mostly for performance) and all sorts of things are changing. Sometimes better, sometimes not...
Latest kernel autobuild:
http://glemsom.anapnea.net/android/htc-msm-android/
(NOTE, if you've been using MrPippy's kernels you will want to add "msmvkeyb_toggle=off" into the cmdline of your Haret.exe startup.txt)
Latest rootfs:
http://xdandroid.southcape.org/rootfs/
My best of luck has been with the XDAndroid 3/1 release (2.0.1), there is still a lot that needs to be fixed for Donut (1.6) but we're working on it. 2.1 is pretty slow and maybe not destined to run smooth on our devices. I find 1.6 is screaming, but the bluetooth (hciattach) segfaults, and there are some (out of) memory issues and library incompatibilities since all the dev has been on eclair/2.0.1 for a while. We'll get there =)
Let me know if the MCC & MNC did the trick, and remember, a lot of the guys doing the hard work and with the expertise are on #htc-linux on FreeNode. The discussion is usually around porting android/linux, but they help people out with bugs like yours a lot, so drop by if you're still stuck. Good luck!