I have an old ATT USB modem (it's packed away, not sure the model number). It works in the U.S. with an ATT sim card, and in Italy with a Vodafone sim card, in both cases I use the ATT Connect software.

However, that requires two subscriptions; Vodafone is about €30/month, ATT around $60/month. If you have your own modem, or if you buy it outright from ATT, you can get the service without a contract and cancel any time.