<p>What are all <a href="http://en.wikipedia.org/wiki/Hayes_command_set" rel="nofollow noreferrer">AT</a> commands required for <a href="http://en.wikipedia.org/wiki/General_Packet_Radio_Service" rel="nofollow noreferrer">GPRS</a> communication?</p>

It depends quite a bit on:
The modem
How much of the modem's stack you plan on using
The carrier you're using
If you're using this on a computer and you have a modem configuration file (modem specific), and a carrier configuration or setup then you can intercept the serial commands and find out.
Otherwise, try going to the modem manufacturer's website and find the AT command guide for your modem.
Once you have the modem commands, setting up the connection requires several steps, including initiating the GSM connect, then a GPRS session with a server, and then the PPP session with your carrier's ISP equipement.  You'll need several pieces of information from the carrier, which the AT command set will guide you towards.
Your modem may also have a built in TCP/IP stack, in which case you also have AT commands to initiate the PPP session, and then TCP connections with internet servers.
If you post the modem/carrier/goal/etc you might be able to get more specific help.
-Adam