Here is an article I wrote a while ago on this general topic.
The best thing I have found so far for abroad is to buy the
E585 GPRS/3G-WIFI radio, stick a locally purchased data-SIM card into it, and off you go... just works, with everything. And several people can use the wifi concurrently.
The next best thing is to stick the local SIM into a normal phone and install
Joikuspot on it.
Locally bought data SIMs can be great value e.g. 2GB for 10 euros, valid for 10 days (Greece).
If you cannot get a local data SIM then obviously you are looking at WIFI (which may be easy, impossible, or anything in between according to where you are, and nowadays it tends to be charged for heavily if you can get it) or GPRS/3G
roaming data which will always be expensive, one way or another.