Apparently Apple has been experimenting with 3G MacBook Pro designs in the recent past. AlricLantra from the AnandTech Forums has recently gotten his hands on a MacBook Pro prototype with a 3G SIM card slot (although the slot is non-functional). Ultimately the decision was made not to include 3G at that time, but the engineer was allowed to keep the unit for personal use.
I personally would have little use for 3G support, since I have an iPhone 4 and can tether my MacBook Pro to it. I'm on Fido in Canada with a 1 GB data plan, and tethering support is included in this plan. However, 3G (or 4G) data support would be an interesting option for some MacBook Pro or MacBook Air users, similar to the 3G option for the iPad.