Recently I was emailed from a Thai student who was traveling from Thailand to Europe on a year out. He wa goinng to Italy, Germany, France, Sain, Portugal, London and then on to Dublin in Ireland were he had a 6 month contract with a parcel delivery company. He was looking a mobile phone sim card and broadband connection that would suit him throughout Europe. Unfortunatly there is not such a product as each country has their own networks and roming charges apply when you go from one country to another.
I directed him to http://www.mobile-broadband.ie/ where he is able to get a mobile broadband or wifi dongle on pay as you go. This is ideal for working as a parcel courier giving him internet access on the go via his laptop. If he goes for he wif option he will be able to connect any other wifi device he many have such as a mobile phone or music player to the web. The site also has information on all sim cards available in Ireland from each of the mobile phone providers. They are also on twitter @mb_ie always willing to answer questions on mobile broadband, sims and phone plans making them an ideal resorce and one I would recommend for anyone in the same position.
I have added him to my personal twitter account and it has been very interesting keeping an eye to his tweets and getting his view of europe. If there is anyone else traveling west I would be interested in hearing your story also!