What type of iPhone do you have. I heard that 3G cannot switched off on an iPhone 4s, so if you have that one, it can only be a service provider issue (worst case: Your antenna does not work).
Did you try on a different location, like downtown?
If you have an iPhone 4 or 3Gs you can check if 3G is switched off: Go to settings->General->Network. At the top there is a 3G switch that should be on (blue).
Let us know if this works.
I have an IPhone 3 - I have Enable 3G turned ON Mobile Data On and Data Roaming. Against Wi-Fi it simply says NOT CONNECTED. At the top of the screen I only have the Orange Singal strength which is showing 4 bars and a blue circle. I have seen 3G before but it is very very rare when it pops up. If it is the antenna how can I get that resolved?
Glad to help.
The blue circle means that you have mobile network, but the slow version. I would try the signal somewhere downtown, where it should have 3G and if it is not there, stop by an Apple store or reseller.....
Also, do not forget to turn off dataroaming! Dataroaming means you can use mobile internet when you are abroad....it will cost you a lot of money!