Your phone may not have the correct APN settings in it in order to connect and use the data properly. Check and add these settings if necessary.
Access the Settings menu.
Locate and select Wireless & Networks or More Networks.
Select Mobile Networks.
Select Access Point Names.
Locate and select the option to add a new APN. This is usually accessed by a + symbol on the screen or by tapping the menu button.
Under name, You may write what you choose. I would probably write "ATT" or similar
Under MMSC, write http://mmsc.mobile.att.net
Under MMS Proxy, Write proxy.mobile.att.net
Under MMS Port, Write 80
Under MCC, Write 310
Under MNC, Write 410
The rest of the settings remain unchanged.
After these settings have been entered, Turn off the phone, take out the battery and SIM and allow 5 Minutes to rest. After this, Turn the phone back on and see if you have data.
The settings I used can be found under "Correct Data Settings" at: http://www.att.com/esupport/article.jsp?sid=KB424489&cv=820.
My knowledge comes from years of experience with many different devices and Operating Systems.
Have an awesome day and Thank you! xD