How come my AT&T iPhone 4g doesn't work unless connected to Wi-Fi?

Like seriously it goes so slow I can't even watch a video on YouTube I can barely go on my safari 4 out of 5 times it says there's a proxy error. I live in a downtown area I have full bars. This isn't fair there's no point in even having this thing it doesn't work! Is there anything I can do to make the interenet work on it! I haven't had my Wi-Fi installed yet… And I'm so bored I just want to use my phone like a normal person. The calls cut out and Internet doesn't even work outside of my house I could drive far away anywhere and it just doesn't work unless connected to Wi-Fi.

Call AT&T and make sure there isn't a problem with anything on their end. They can also help with tech support - it could be something as simple as rebooting the phone. Also there's no such thing as an "iPhone 4g"… You either have an iPhone 4, iPhone 4s, or an iPhone 5.