I am actually in the same situation right now. I think the way I'm going to do it is just put the iphone in airplane mode and then just keep my wifi on so I can still check emails. Not sure yet if there are any additional charges for that yet though.
Mexico is cheap, Europe is expensive. I was happy just using the free WiFi in my hotel in Paris and Amsterdam, but I was lucky. My parents just got back from London where they never found a free source of WiFi.
ATT has a series of add-on international data plans
the highest is like 200mb per month for like $150 per month and overages are charged per KB.
they have a cheaper unlimited plan for like $65/month but it's a year contract or penalties of like $150 to remove.
there's also an international calling rate. for $6-7/month you get to pay $1 per minute less. for some countries this is the difference between $7 and $6 per minute. if you want to make local calls pick up a prepaid overseas.
(I forget the exact numbers but that gives you an idea)