Surprisingly it's come on a huge amount, both browsers and phone's data transfer capacities have improved massively, as has the price of bandwidth.
Step 1: Connectivity.
Next up you have the plethora of connections in the sky, edge, 3g, gprs, 3.5g and so on, check your phone's native settings, though it might be capable of better communication you might have to switch it on, set them to allow if available - unless the print in your data plan charges you extra, o2 don't but I can't vouch for others, so check first, just in case.
Some newer phones have other tricks, like streaming other devices like PS3s and stuff but honestly if you're at home use the computer or some such.
Basically depending on where you are set your phone up to prefer the fastest connection protocol available, this is simple enough, though if you have pay as you go or stipulations about the likes of 3g then weigh up cost vs. speed, unless it's 3.5g the difference isn't massively appreciable on mobile sites, which have been purposely slimmed down for your liking.