Bought a Huawei E585 Mifi in August 2010. Next I canceled my Data Roaming Plans with my domestic provider for both my PC and my Cell Phone and bought a local Datasim for each country I visited.

Then, a few months ago, I bought a Datasim from aBroadband.com, which is the first Dataroaming Plan that I know of is straightforward and very reasonable priced. I use it on short trips to a country (but continue buying a local Datasim for extended stays in a country).

So far the combination of the Huawei E585 Mifi (or a Novatel Mifi for that matter) and the aBroadband SIM is the perfect combination of cost and convenience. For me.