When on holiday in Tenerife I could not access mobile internet even though Roaming was switched on. I pay a monthly fee and can get mobile internet when in the UK.
If you have an iPhone, you could have changed your Data APN to "mobile.o2.co.uk"
We also recommend searching for another network and making sure data roaming is turned on.
Also dropping down to 3G often helps.
Veritas Numquam Perit