MMS works fine on my Italian factory-unlocked non-jailbroken 3GS using T-Mobile. Tethering does not work now that Apple requires signed mobileconfig files to enable it, alas. (If I'm really desperate, I can always get out my old unlocked Sony Ericsson and move the SIM.)
Here's what I use. I have the "T-Mobile Total Internet" add-on to my voice and message plan (cellular data + hotspot, though my rate is grandfathered in AFAIK as they split it up differently now).
APN: internet2.voicestream.com
User/pass : blank
MMS:
APN: wap.voicestream.com
User/pass : blank
MMSC: 216.155.174.84/servlets/mms
MMS Proxy: 216.155.165.50:8080
MMS Max Message Size: 1048576