Using a GSM module such as the Telit GM862 , you will be able to receive text messages directly on the Arduino without the need of any web services. This would be much faster and cheaper. This particular module even includes a GPS.
It is actually also possible to connect to the internet using that module, using good old GPRS (The module contains a full TCP/IP) stack. Of course not near as fast as an average wifi connection.
I used it to create a set-up where you can send a text message to the module: "Where are you?", it would then respond with the latitude and longitude as well as the geocoded address using Google Map's Geocoding API over GPRS.
Personally, my comfort zone was with web development and I had the WiFly handy so I used Twilio and Pusher - worked out alright :)
I think that was notatoad's point. To use GPRS modules, I would think you need to buy access to the towers from somebody. I don't see how that would be cheaper than using WiFi, because you would have to pay for every communication.
But thanks to things like Pusher, you don't need that!
I was just picturing the request going to Twilio and then pinging the Sinatra app on the Arduino directly… But Pusher and the like really help so much to put things "online", albeit indirectly. But between a free Pusher app and a free Heroku app, it's easy to get going without worrying of your home router configuration or anything anything like that.
I suppose one could also use IFTTT recipes too, again to get around the server bit. Still, this is more DIY with websockets, so that's got a big cool factor.
FWIW, Little Bird electronics are another Australian supplier of Arduino & associated electronics. http://littlebirdelectronics.com/products/arduino-uno-r3
No association, except for being a satisfied customer.
It's always a toss-up between ordering locally & just shipping from Sparkfun, though, especially with the exchange rate.
This blatant advertising is poor form.