I wish this existed. I currently use 3G Watchdog on my Android, and its great. It's just a widget that sits on my homescreen giving me up to date immediate information about how much data I've used. Although I have unlimited data, being a techie/geek I love being able to know how much data I've burned through, especially with the Zune Music Pass and unlimited music streaming.
It may not seem to be a necessary function for everyone, I don't think there's really a reason not to have the choice to use it. Having to continuously sending sms' to the carrier or check webpages that may not be as up to date is to difficult for it to be an accurate way of taking control of your data usage.
The AT&T app is up to date when you open it. No webpage. Actually a nice interface. I had a great app from SPB on my WinMo Tilt2 that let me know which apps were using what data. I miss it a little but the reality is it used resources, tuning constantly. I can live without that.