Personally I think it's disgraceful, but Three are adamant and completely unapologetic about it. There seems to be at least two workarounds. I've used the first and can confirm it works a treat.
#1. Change your mobile network settings...
I'm running a Hero, so hopefully these instructions will be roughly the same for you. You'll be changing your mobile network settings and setting up a new APN (Access Point Name).
Go into settings/wireless controls/mobile network settings/Access Point Names. You'll see one padlocked APN there - 3. Go into it to access all the settings. Make a written note of all of them.
Then back out, hit your menu button and create a new APN. I called it 3proxy. Make sure all the settings on it are the same as the padlocked 3 one, except for one crucial change. Change the APN from three.co.uk to 3internet.co.uk.
Make the 3proxy APN your default one and you should now be able to access whatever you like.
#2. Change your default browser...
I haven't tried this, since I only stumbled across it recently. Apparently if you change your browser to Opera mini then you can access whatever you like. It seems Opera uses a proxy so Three don't realise you're accessing restricted sites. Presumably you just download Opera mini from the Marketplace and set it as default.
Hope this helps