My iPhone 5 3/4G isn't working?

I've had my phone for just over a month and it works perfectly when I have Wi-Fi, I'm with O2 and they offer no help in this category. I can send texts without Wi-Fi or 3G but when I turn on my 3G it doesn't let me use the Internet, it says it's turned on but at the bottom it says

Use mobile data for:
FaceTime
Mail
Passbook
Spotify
I have all these turned on but there's no option to turn the internet on, any advice?

If you do not have a data plan then you can't connect to the 3G/4G. Make sure your cell plan has a data plan.

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