You might want to check the existing threads for UK Sims
http://www.flyertalk.com/forum/trave...and-wales.html
US Sims
http://www.flyertalk.com/forum/trave...cards-usa.html

From the UK thread - Heathrow has Vendpoint vending machines which carry sims.
http://www.vendpoint.co.uk/vending-locations/4577009648
The site lists the Three nano sim package as 20 GBP. Tweet/e-mail them if you want to confirm.
https://twitter.com/SimCardHeathrow

Toggle Mobile UK, a Lyca Mobile owned brand, is also available at some airport WH Smiths and data is 15 p/MB in the USA.
http://www.flyertalk.com/forum/trave...l#post19994729

If Three is like Vodafone UK, topping up a outside the UK with a non-UK bank account/credit card requires purchasing a top up voucher, which is usually sold at a premium on internet sites. So if you run out of credit, you might be stuck without data until you get to somewhere with internet access and pay extra to top up via a third party retailer. Or buy a voucher at WH Smith and use it to renew your sim credit & validity when needed.

Three Internet Abroad might also need opt-in via website (which would only happen after account activation & provisioning, I would think) http://support.three.co.uk/SRVS/CGI-...,Case=obj(4145)

The US market has gotten a little less weird about prepaid sims and MVNO's in the past couple years. Lycamobile USA, MVNO on T-Mobile offers a PAYG plan 4 cents/MB and I know they're offered on eBay. Sim is free via Lycamobile.us and $10 min top up. I think Lycamobile will also ship to a hotel and maybe overseas if you contact them via e-mail. You could also pick up a t-mobile USA prepaid sim off Amazon USA, eBay, Best Buy, Walmart, or in a T-Mobile store. There's also prepaid MVNO's on AT&T.