If $0 < \alpha < 1/2$ then a continuous function on the circle is $\operatorname{Lip}_\alpha$ only if the Fourier coefficients satisfy $a_n = {\rm O}( n^{-\alpha})$; this is in Katznelson's book (Chapter I, Corollary 4.6) for instance.
[EDIT (2013-07-10): at the time I had thought this was "iff" but a comment points out that I may have misremembered; I will check in Katznelson later.] Thisany case, for lacunary series such as the one in the question, a lot more is known than in Katznelson's bookthe general case; see e.g. Katznelson Chapter V for instancethe basics.]
So the function you defined above isn't going to be Hölder continuous for any positive exponent, even though it's clearly continuous (absolutely convergent Fourier series).
Off the top of my head, I don't know of any particularly good source for the higher-dimensional stuff. There might be something in Katznelson's book, but I don't recall.