You can check by heading to Settings > General > Network and then checking to see if you have a "Cellular Data Network" menu. You can also look in the native text messaging app, and check for a camera icon.
AT&T delayed the MMS rollout to make sure the "network was ready to handle a record volume of MMS traffic." They also noted that if you already pay for SMS, MMS would be added free of charge.
Pic via Ars:
Written by: Andre Yoskowitz @ 15 Sep 2009 1:38