I went to the Alps in the south east of France last month for a week skiing. I had hoped to be able to buy (for my new iPhone 4), a reasonably priced, local "pay as you go" SIM-card with plenty of data download included. Unfortunately, that kind of service does not seem to exist in France (unlike in some other European countries such as Sweden), but as all three places where we stayed had free WiFi, I could meet most of my data download needs there, including making my telephone calls using my iPhone based Skype app. I had pre-purchased calls to regular landlines and mobile phones for £10, but only used up a pound or two while calling my wife at home every day.
For being able to use the iPhone's built in GPS, where Goggle maps are not available due to no Internet access, I purchased for a $ the excellent app "MotionX-GPS on the iPhone", which allowed me (free of charge) to download detailed terrain and street maps in advance, covering ski areas and along roads we planned to travel. Only warning is that the maps could take up a lot of space if one covers a too large area with too high resolution, but that could be easily adjusted after some practicing while downloading. The stored tracks that the application creates while one is moving around, can be emailed to one's own (and others') email addresses via the website of the app (no email account had to be set up in the phone). By clicking a link in the email (on the receiving computer), the tracks could be viewed on Google maps in terrain, regular or satellite mode. Very impressive!
I turned off data roaming both in the iPhone itself, and at my account with my mobile phone provider "3". I had just a few extra charges due to regular short calls with a local network in France, but no data roaming charges.