Who is your carrier?
If you have Verizon (or Sprint I beleive) you cannot turn 3G on or off. If there is a 3G signal, it will get 3G speed, if not it will downgrade to the 2G.
For AT&T you can turn on or off (its on by default) 3g by going to settings >General>Network> Enable 3g
At least its there for my iPhone 4 running iOS5