You might want to see if Cingular has any sort of "plan" that allows for discounted roaming. When I was still with AT&T I think I paid $5 or $10 per month for discounting roaming.
In regards to the cost of the SIM cards in Europe, it will entirely depend on the country and carrier. In a recent trip I spent 10 euros on a Vodaphone Italy sim and 20 on one in France. They worked great and were very easy to recharge.
The downside, however, I having a new number for each country.