If you brought your phone from abroad make sure your cell phone is Unlocked (to verify, call your provider).

You might have to set up your APN Setting manually

Galaxy/Android:  Go to Settings->More Networks->Mobile Networks. Turn Mobile data and Data roaming - on. Select Access Point Names and Add New APN.
Fill in the “Name” field and the “APN” field, see below. (For other phone models, steps may vary.) 

iPhone: Your internet should work automatically. If not, go to Settings->Cellular. Then Enable 3G and Enable Data Roaming. Select Cellular Data Network. Fill in the “APN“ field, see below.

Put in the details below based on your provider.
Leave everything else blank

For Cellular Israel Direct (CID) or Hot Mobile:
      for Android (OS):
                         Name: NET HOT Mobile
                         APN: net.hotm
      for iPhone:
                          APN: net.hotm

For Cellular One (x2one network):
      for Android (OS):
                         Name: Cellularisrael
                         APN: apn.x2one.com
      for iPhone:
                         APN: apn.x2one.com
Please note: for a hotspot a separate APN has to be set up with the same info as above

For Golan:
      for Android (OS):
                         Name: Golan 3G
                         APN: internet.golantelecom.net.il
      for iPhone:
                         APN:internet.golantelecom.net.il

For Cellcom:
      for Android (OS):
                         Name: Cellcom 3G
                         APN: internetg
      for iPhone:
                         APN:internetg

For Partner (formerly Orange):
      for Android (OS):
                         Name: mobile54
                         APN: uinternet
      for iPhone:
                         APN:uinternet

For Pelephone:
      for Android (OS):
                         Name: Pelephone 3G
                         APN: internet.pelephone.net.il
                or
                         Name:Sphone Pelephone
                         APN:  sphone.pelephone.net.il
      for iPhone:
                         APN: internet.pelephone.net.il
                or
                         APN: sphone.pelephone.net.il

For Rami Levi:
      for Android (OS):
                         Name: Rami Levi 3G
                         APN: internet.rl
      for iPhone:
                         APN: internet.rl

For 019:
      for Android (OS):
                         Name: netazi
                         APN: netazi
      for iPhone:
                         APN: netazi

For YouPhone:
      for Android (OS):
                         Name: youphone3G
                         APN: data.youphone.co.il
      for iPhone:
                         APN: data.youphone.co.il

For 012Mobile: 
                         APN: uwap.orange.co.il

For HomeCellular:
                         APN: hcminternet