As an alternative to carrying multiple phones while travelling, or swapping SIM cards to avoid roaming charges, you might want to consider this unorthodox solution: the iPPeel iPhone 4 case, which has a dual-SIM GSM handset on the back.
Not surprisingly the $70 iPPeel's built-in phone is pretty basic. Don't be fooled by that product shot, it certainly doesn't run iOS. But it manages to one-up the iPhone with slots for two separate SIM cards, letting you access three different cell networks at the same time.
And I find it odd that it includes a microSD card slot and MP3 capabilities. When travelling I'd happily settle for a crappier phone for calling and texting if it meant a reasonable mobile phone bill when I got home. But I'd probably still stick with the iPhone 4 as my media player of choice. [iPPeel via Chip Chick]