Roaming worked in both Iceland and the Faroe Islands this past weekend (10/17/2014-10/20/2014). I had purchased a data pass and got good speeds in both locations -- definitely higher than 2G and very usable for everything I use my phone for. I was even able to successfully tether my tablet through the connection.

In Iceland, I roamed onto Nova. There were occasional periods of outage or spottiness but overall it worked well enough.

In the Faroe Islands, I first roamed onto Vodafone, which worked for calls and SMS but not data. A few minutes later I noticed that the phone had re-roamed onto Foroya Tele, and everything started working. In fact I never experienced so much as the tiniest glitch in the Faroe Islands, it was very reliable everywhere I went.

Windows Phone 8.1 Update 1 on both Lumia 925 and 1020, automatic network selection.