I've just installed Ubuntu 9.04 on my spare PC and I'm using a Huawei E220 USB Modem.
Quite impressed that the Ubuntu install found the modem and required only a profile to be set up. But shock horror no SMS facility!
Despite my initial searching all I could find was UMTSMon which only allows for SMS sending!
Then I stumbled upon forge.betavine.net and found a Vodafone connect program that has both send and receive! It works on Debian, Ubuntu, Ubuntu Netbook Remix, Linux Mint plus most other flavours of Linux.
I used that app on 8.04, haven't used it since 3G support was integrated. I don't need the SMS feature, so don't need it anymore. But, of course, you will need it if you want the SMS feature.
There are apps out there for USSD commands, could also try SourceForge, and our endearing friend Google.