I use AT&T for Europe, it's not the least expnsive, and it's got some minor hassles (you pay twice for calls that go to voicemail for example), but I've never been without a signal, nor have I ever missed a call.

I just purchased a GSM on Ebay, and got the sim from AT&T for use out of the USA, doesn't work in this country. Of course, should I leave the country without turning off the phone I use here, then I'm screwed until the batteries die in it overseas.

I could also use a local SIM if I wanted to.

If you are making lots of calls back to the states then a calling card is easily the least expensive way to go, but to have a USA number ring on a phone in Europe there are probably only three choices, T-Mobile, Cingular, and AT&T.