It pops up a message (can't remember the exact wording) every time I leave my home and try to use an Internet application. Basically, it says something about roaming, data charges and being outside of my area. Never had this issue before with previous phones at all.
What I've eventually found is that the message doesn't appear if I turn wi-fi off. But then, who wants to be doing that everytime they go in and out of their wi-fi areas? And presumably, Internet applications (like email) don't have any connectivity until I manually turn wi-fi off.
I still don't understand why it makes a big thing about 'roaming'. I think 'roaming' to Android means a completely different thing to what it means to me.