I used a serial/IRDA based one 5 years ago, it was a small dongle add on to a set of Ericsson phones, so you must be able to get them dirt cheap on ebay.
At the physical level everything's analogue (audio & RF waves in this case)! Audio captured by the mic is digitised (A2D), compressed, encapsulated & streamed over the net. GSM is digital, and audio frames are sent over that network, however the underlying physical media is analogue RF waves but in digital-like pulses at very high frequencies, if you see what I mean ;-). It's kind of similar to digital chirps of a modem over analogue sound waves .. and eventually electrical pulses down a copper wire pair. The phones/basestations unpack that audio data ... but it could just as easily be data, in the case of WAP .. now GPRS/3G are data/packet-oriented nets, that can also carry voice traffic. 1st gen GSM/WAP wasn't designed as packet based, it's circuit based, so AFAIK you'd have to pay per second whilst connected .. not at all ideal for an el-cheapo person (myself included). One of the audio codecs used is CELP which uses linear predictions in the time domain by modelling the human vocal tract instead of the human hearing, so these codecs aren't great at coding anything else other that human speech .. worse than PSTN quality! It's ultra efficient, lossy, etc compression.
Why would you want to convert digital data to sound & back again on digital cell nets like a modem, esp with GPRS/3G being common place now .. they're digital nets over radio .. of course this assumes they're cheap (they should be since packet nets are shared & far more efficient than dedicated circuit-switched voice nets, so the telcos should encourage its use given the limited available spectrum .. I'm glad push2talk is popular now, since perhaps this will force the telcos to encourage data use also ...)? PSTNs were setup for analogue voice first, years before doing it digitally was economical (ISDN was the 1st relatively common digital data/voice 'integrated' net AFAIK, over copper at the local loop still .. Fiber To The Curb etc means hopefully that'll eventually be nearly all fiber by 2020 maybe ;-)). Er, sorry for the tangent .. damn I do this far too often :-(.
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