I think I have found a work around to this annoying problem. It was losing the ability to use any data when I left a WIFI spot I was connected to, or when out and about and the phone picked up an open WIFI spot. None of the WIFI advanced options made any difference. It would affect 3G data too, I'd lose all data access until I toggled Flight mode off & on...that was the only way I could get it working again other than restart the phone.
I found a post about a similar issue with the Note 2 when it was first released and it mentioned a WIFI power saving mode. It turns out you can get to this from the SeviceMode screen by dialing this number *#0011#
(ServiceMode will start as soon as you enter the second #) - assume it is the same for all. Once in ServiceMode, tap the menu button and chose WIFI. You will then see a WIFI Power Save Mode label with a button underneath. Tap the button to set it to OFF.
I've been testing this all day, normally I'd lose data at least three times, sometimes more, while travelling but so far today everything has worked flawlessly ... no loss of data connectivity. From what I have been reading, switching off power save mode does not affect battery life despite what you might think and I've not noticed any unusual battery drain today so far. So if you are experiencing the same annoying loss of data, try this before you take your phone back. Hopefully this is a software issue that will be fixed in the future.