Check all the recent news stories about people who've been hit with bills for many thousands of pounds for roaming data. Just for downloading stuff that would have cost them a few pence in the UK, or even nothing at all if you've got an "all you can eat" data tariff.
PAYG is obviously safer, it'll just use up all your credit in a few tens of seconds and then cut you off, provided that you haven't been daft enough to put more than a few pounds credit on your account in the first place.