If both your X4 and your cell plan have 3G capability, then it will ALWAYS try to connect in 3G mode because it makes better use of the air-waves. Therefore it is in the best interests of AT&T (or whoever your carrier is) to get you into 3G mode.
If the local cell tower doesn’t support 3G, or your cell plan is GPRS only, then you’ll connect in a slower mode because the cell tower was ‘instructed’ by yoru carrier to only support slower modes. There is nothing the X4 can do to overcome this.
As a second comment, some carriers have special APN names for use when you want to ONLY connect with 3G.
I hear rumor AT&T has such a magic name (perhaps ‘broadband’ instead of ‘isp.cingular’?)
The ‘good’ is it prevents AT&T from pushing you off onto slower infrastructure based on who-knows business logic.
The ‘bad’ of this is you’ll more likely find situatiosn with no signal at all, since for example even a Sprint/verizon/CDMA cell-tower partner will have low-bandwidth GPRS resources you could roam to, but won’t likely have an GSM-3G since such high-bandwidth things would be dedicated to CDMA only.