Another possibility for the problem could be Media Net Parental Controls are active on your account or some sort of content filter/purchase block. I just received my captivate and had the same 'access forbidden' error when I tried to access internet while on 3G. I got on my laptop and chatted with a at&t tech support rep and he said that Parental Controls was active on the account during shipping of my phone just in case it got lost, someone would not be able to run up a lot of usage charges. Once he removed the block it has worked perfectly.
Not to say this is the case with everyone, but it sure worked for me!