SPAIN: You must show your passport to purchase a SIM card in Spain.
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Updated 19 Nov with another option
Carrefour Móvil has a great deal
SIM: 10€ in any Carrefour supermarket (including Carrefour Express), includes 5€ of credit. You want the data SIM, not the voice SIM. They sell them in the checkout line.
DATA TARIFFS:
1€/day unlimited data, billed per-day. If you only connect during one day (0h-2359h) you only pay 1€. Thus that SIM will keep you going for five days without a recharge. You get full HSPA data up to 100MB/day, then it drops to 128Mb/s.
1GB Pack - 19€, good for a 30-day period, unlimited data. Once you pass 1GB, speed is reduced to 128Mb/s. You can either re-up for another 1GB or switch to the 1€/day after that.
APN Settings:
apn: CARREFOURINTERNET
user: <blank>
password: <blank>
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Vodafone:
http://vodafone.es
SIM: 18€ in any Vodafone shop, includes 18€ of credit. There is a Vodafone shop every couple of blocks in the cities, and every small town has at least one.
DATA TARIFFS:
0,50€/day unlimited data - no P2P, no VOIP, consistent high volume gets you booted to their GPRS network at lower speed
3€/week unlimited data - same as above
IPAD SIM:
15€ includes 15€ of credit. VOIP works.
IPAD TARIFFS:
15€/month - 200MB, then speed drops to GPRS
32€/month - 2GB, then speed drops to GPRS
All Vodafone SIMs can be recharged in ATMs that have the "4b" logo.
APN SETTINGS:
APN: ac.vodafone.es
Username: vodafone
Password: vodafone
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Another option is
Happy Móvil:
http://www.happymovil.es
SIM: 10€, available in any Phone House shop, also most other independent mobile shops.
DATA TARIFF:
0,09€/MB - EDGE speeds, billed in MB increments.
All Happy Móvil SIMs can be recharged in "la Caixa" ATMs. This may be an interesting option because they have extremely cheap international calls - around 0,06€/minute to much of the world - and calls between Happy Móvil numbers are always free.
APN SETTINGS:
APN: internet