There are various options and to a degree it depends on whether your usage is regular or sporadic.
For a start, you can get internet connectivity using any of
1 - an ethernet cable
2 - wifi
3 - gprs/3g
4 - modem
and people will differ on how useful these are. If you always stay in posh hotels then 1 & 2 will be OK, but my experience is that 1 is rare, 2 is rare in cheap hotels and is expensive when you can get it (and unsecured access points in public places are pretty rare nowadays as most serious owners have wisened up to this old scam) and I keep having to fall back on 3 which is cheap or expensive according to your usage but is highly reliable (as good as basic mobile phone reception).
4 should work in most places but you need to carry a collection of phone plugs, and you can get huge bills for using the hotel's phone line for an international call - normally you will be dialling up your UK ISP. This is however quite a good method because for all intents & purposes you are in the UK, so all your application config (email, usenet, etc) will work just the same. Option 4 can also be done over GSM at 9600 baud - very slow but works.
Yesterday I was in Germany (AERO 2007) in a Euro 144/night hotel. No 1 & 2 but 3G went like lightning. At a hefty price though; Voda PAYG is £7.50-£10/MB when roaming, depending on the tariff. Virgin is £5/MB in all cases.
Voda is the only provider I know of that supports the windoze PPTP VPN. IPSEC might work better but I have not been able to get it to work with my routers (Draytek 2900). An SSL VPN will work fine of course; it uses port 80 (HTTP) which nobody will dare block.
I've just bought a fantastic 12" Thinkpad lightweight laptop; the X60S 1704 which has wifi, bluetooth and gprs/3g/hsdpa all built-in. I got it in an as-new ex rental but hardly used condition for about £900 (£1300 new) and it has an 8hr battery life with everything running on full bore. Email me for the firm selling it if you need to.
For heavy data users there are various contracts which offer data bundles. Voda do some juicy ones for a mere £90/month
PAYG data is much cheaper in some places abroad; e.g. in South Africa it is 15 UK pence per MB, and yes the SIM cards do work in the UK and a few other places, but there is no easy way to top them up when out of S.A. This is a big subject and there are loads of tricks one can do. The most obvious thing is to always use a local SIM card.
For ultimate security, you need to encrypt the hard drive. One product I know is called Safeboot. This is extremely secure, but if something happens to the HD and the boot record gets trashed, you can forget everything on it.