I traveled last year in East Africa on a VZW SIM, so I'm probably not much help in regard to your Europe question...
Before I left the US I added (for free) VZW Global services to my account. I landed in Belgium for a couple of hours, and as soon as I landed I got three texts telling me welcome to VZW in Belgium and the rates for texts, calls and data. From there I was in a layover in Rwanda, and basically the same texts came up telling me local rates as soon as my phone locked onto a network. I stayed in Uganda and Tanzania and the same applied.
I was going to get a local SIM in Uganda, but when I went to get it they required my passport info for 'security purposes' (some kind of anti-terrorism law required all SIMs to be registered and documented) and I didn't have my passport on me at the time. Had I got the SIM from the correct carrier, I would also have been able to use that in Tanzania, but I didn't realize that at the time.
Needless to say, the rates for texting, data and voice were all very expensive on VZW global roaming. Texts were .50 each. Data was $21 per Mb. Voice was $5 a minute. I made a call to the US for 10 minutes for $50. After three weeks, I had added about $100 to my usual bill. I tried using Wifi whenever possible, but accidentally used data once for a minute, and they charged me the whole $21. Most of the rest was texting. I didn't have to make many voice calls, because I was with the people I was visiting most of the time.
Anyway, that's my experience. If I'd really needed to use data, I would have been fuxxed. Luckily places I stayed and the airports had Wifi. In all major cities texting and calling was seamless. The countyside wasn't as good, but I was pleasantly surprised by coverage even out in the boondox of western Uganda. I would think it would be flawless in Europe, considering their tower densities.
Here's the Global Services page:
Global Services - Verizon Wireless
If you sign up and pay for some of their options, like prepaying $25 for 100MB of data, it would be cheaper than what I did.
BTW, my friend who was also travelling, accidentally also turned on her data on her VZW iphone without realizing. She downloaded something like 250 work related emails with attachments, that ended up costing her around $500 (almost half the ticket price to Tanzania from NY) ouch.
PS. I also brought along the charger that came with the phone. It didn't work anywhere because everywhere used 220V instead of the USs 120V. So I had to plug into peoples laptops, many taxis had 12V universal chargers, etc. I would also leave the phone at the hotel desk where I was staying. None of that was convenient. Sooooo, get a truly universal charger and some of those weird Euro plug adapters.