SIMCOM's SIM900 is the most common GSM/GPRS modules in the maker/hobbyist community. It is of course not the best and the experience people have had with it varies. Most people use this for simple tasks like SMS sending and receiving making the experience people have had largely positive. The module is also cheap and readily available. Compared to building your own baseband module, you get some advantages:
a) Certification of by regulatory institutions like FCC, CE, etc. is already done.
b) The software stack is already done. The only thing you have to worry about is the command protocol otherwise known as AT command set. The software stack is very deep and complicated and there are very few resources you will find online for this kind of work.
The list goes on...
Worth noting is that these benefits apply to almost all GSM module and so does most of the post below.