If you are on At&t simply call and ask them about their international plans. I want to say you can also purchase different sim cards from another carrier, if they will work in the iPhone, I can not be certain. Maybe someone else can help you with that.
I did see an article on the Gadget Show website about SIM cards that you could get for using abroad that were cheaper than paying roaming costs. The bad news is, they don't appear to work with the iPhone. In the UK, you can use an O2 PAYG SIM card in the 2G iphone and PAYG is coming to the 3G soon but that just applies to the UK.