The horror stories are true.
I have one of those "all the data you can eat" tariffs on my XDA in the UK. I never get charged for GPRS use. It's brilliant.
I connected to GPRS in France, to get one TAF and one METAR via WAP, and got a bill for £7 for the privilege.
I've bought a cheapo bit of software that allows me to disable the GPRS etc when abroad (the phone has a habit of "bypassing" the "off" flag when it wants to do something). That paid for itself in milliseconds!
As Gertrude says: use a PAYG and don't have a lot of credit on it - that minimises your potential losses.
I bought a Three phone (PAYG) last year, but outside the Greater London area, I can't use it. There's no signal in North Essex, Suffolk, or Norfolk where I go. I've read all the assurances about "falling back to ..." but mine doesn't.
What does work abroad is the WiFi bit of the XDA. It's a bit fiddly to connect in some places, but that will allow access to Met etc at sensible prices. At Le Touquet, it's free, and works well.