I recall reading in earlier discussions re: SIM cards that in some regions, you need to provide proof of residence to purchase a SIM. I know that seems crazy, and is definitely not tourist-friendly, but I think it was some form of anti-terrorism measure. Might've been in France? Worth checking out the prepaidgsm.net forum to see if travelers have had issues acquiring a SIM wherever you decide to pick one up.

As for trying to buy it in the US, I agree that it makes sense (even though it'll cost more via Amazon or Ebay). Then you can get it all set up & know for sure that it works BEFORE you start your trip. One less thing to worry about when you hit the ground.

Hope you have a great trip Alan!