giffgaff give advice on how to set up your android phone here
Another way is to set up your android phone manually as follows
Settings > Wireless & networks > Mobile Networks > Access Point Names
Menu button - New APN
Enter the following
MMS proxy: 126.96.36.199
MMS port: 8080
Alternatively install and run the giffgaff apn app from the Google Play Store
Have you turned on packet data? Also verify that network mode is set to Auto.
You also need to make sure the settings are installed (as already mentioned, by texting the word SETTINGS to 2020, tap on the text bubble to open in full view, then tap 'Install' If the settings don't come through, see this post for a screenshot of my settings.) and profiles set correctly:
If you are still on Bada 1
You need to go into Settings -> Applications
then: Media Player -> VOD settings; check giffgaff WAP then tap Set.
do the same thing for:
Internet -> Internet profiles
Samsung Apps -> Network Profiles
Social Network Profiles
Settings -> Menu and Widgets -> Widget -> Widget profiles
If you want any Java apps (like Opera Mini or Google maps) to work go into 'Games and more' pull up the menu at the bottom, tap connections and you're presented with the now-familiar screen.
If you upgraded to Bada 2 they are now all grouped together in one place.
Settings -> Network -> Application profiles
The first two should already be set, just go though the list and change them all to giffgaff WAP, if they are not already. (mine were all set to O2)
Hope that helps!