This is basically a high speed version of a GSM mobile phone which connects directly to your PC. Its a solution if you are on the move, but really too slow when compared to broadband.
With GPRS in Spain, the user pays for the amount of data uploaded/downloaded, so if large files are transferred frequently then the cost rises. Its not unheard of for new GPRS users to be hit with large bills.
3G with Vodaphone is an alternative. They have good deals at around €60 for 1gb of data.