I agree that there is some confusion on this thread. I specifically found and contributed to this thread due to data connectivity issues using iPhone 4S on AT&T. My iPhone 4 on AT&T worked flawlessly for nearly 2 years. Less than 24 hours after buying my iPhone 4S, I couldn't get any data on AT&T's network at all.
I spoke to a rep at the AT&T store and he said that he's heard of a lot of problems with the 4S and had personally referred 10 people to the Apple store last week alone! He said it was a hardware problem with my phone. I made an appointment at the Genius bar that very afternoon and they, in a very nice way, essentially pointed the finger back at AT&T. The Genius bar employee said that his 4S had been working flawlessly until December 2011, when things started working poorly. We both live and work in Chicago. We ran a few speed tests side by side. Sometimes his phone would time out, sometimes mine would. Apparently this was something he was able to live with. I am not. He told me that he could swap my brand new phone, but not with a new one - only a refurb, and that it would likely not fix the issue. Since this would be a foolish move, I walked directly back to the AT&T store and returned the phone for a full refund, and set my contract back to its original terms.
Something is going on here with the 4S that either Apple or AT&T are refusing to publicly acknowledge. I don't have the patience for this sort of thing. I deal with technical challenges all day at work, I don't need this in my personal life. It should "just work" -- especially if you're going to pay $300 for a phone. I'll get off my soapbox now.
I'm currently in the market for a second, used, iPhone 4. I won't be touching the 4S again (on AT&T anyway).
Summary
iPhone 4 on AT&T - Chicago, IL - No data connectivity issues
iPhone 4S on AT&T - Chicago, IL - Data network completely unusable