You absolutely do not need a new phone in each country. At the very worst, if you get a $39 per month TMobile subscription and use one of their world class roaming phones it will work about everywhere but Japan and Korea. Or you can buy a triband GSM phone and get a SIM card for each country. The advantage of the TMobile route is that you have one phone number to reach you. If I have my Tmobile phone on in Shanghai and my wife calls it rings in Shanghai. The disadvantage is that it costs more than getting a SIM card in each country. If you need people to be able to reach you at one number you can either go the TMobile route, or the local SIM route with something like Telcan to route the calls to you. The Telcan route requires you to change the forwarding number for each country you are in using the web however.

You might check the prices for international roaming at TMobile and see if that will work for you. I use both TMobile for when I have to get calls and Telcan for when I am able to program to recieve calls and to make calls. So for instance I have a TMobile phone. It will work about anywhere. When I arrive in England and get around to it, I program Telcan to forward to my Orange UK cell phone number. I then forward my TMobile calls to Telcan, take the TMobile SIM out of my phone and put the Orange UK SIM in. So if Someone calls before I have a chance to reprogram, they can reach me on TMobile, but once I reprogram and call forward I get the lower rate.