There are several new Arduino-GSM solutions on the market, however they're not exactly cheap. However after being given a Wavecom GSM unit for free, Nathan Chantrell has documented their use with an Arduino for various functions including sending and receiving SMS text messages as well as dialling other numbers. Doing so gives you another option for remote messaging from an Arduino, or possibly creating an SMS-controlled remote system. And due to the price of the modules on the used market (check ebay) the cost of entry is very low. Just be sure to heed Nathan's advice about the power supply.
If you're new to Arduino and want to join the fun, the first step is a solid board for your projects - our Freetronics Eleven - the Arduino-Uno compatible with low-profile USB socket, onboard prototyping space and easy to view LEDs: