As I noted in this MSNBC article I wrote a while back, using your home cell phone when you travel can cost you a fortune: Traveling with your cell phone? Beware.
Most travelers have no idea how much they're getting dinged on every phone call and data kilobyte until a month later when they get a bill for hundreds of dollars. This is a huge profit center for the carriers---why do you think you see an AT&T full-page ad in every travel magazine saying "Works in 200 Countries"?
The article linked above offers several alternative solutions, including renting a phone for your travels so you can pay local rates. You can do this upon arrival in some countries, but there's less hassle and stress if you do it beforehand with a company like TravelCell. They ship you a phone that works in the country or countries where you are traveling, you use it for the agreed-upon time, then you ship it back in the supplied packaging. While you are in the foreign country, you pay lower rates than you would pay to your own carrier and in most of Europe anyway, incoming calls are free.
I tried the TravelCell service out for a recent trip to Iceland and it went off without a hitch. My Nokia phone arrived fully charged, with a charger and case. There were cards printed out with my custom phone number on them so I could leave them with people who needed to reach me. Clear instructions explained how to use the phone for calling around the world and what to do with it when I was done. Explanatory e-mails arrived at the beginning and end.
I still spent a chunk of change to stay connected, of course. Outgoing calls from Iceland were $1.19 a minute. (They would have been $1.29 a minute from my carrier, if my phone had worked there.) Incoming calls weren't free in that country, but they were 49 cents a minute--compared to the same $1.29 for my carrier. I talked less than the person who later told me he got a $180 bill from T-Mobile for one week, but my bill was a doable $42, including the $20 for shipping to and from.
The longer I had been abroad, the more sense this would have made. Unfortunately, all nations are not created equal when it comes to cell phone systems. I am off to Peru next week and as has been the case in Mexico, Panama, and Costa Rica, services like TravelCell are useless. They don't have agreements with the monopoly carriers, so you're on your own. I plan on using Skype and VoIP phone kiosks to avoid what AT&T wants me to pay per minute: