I find GPRS works most place where GSM works.
3G is just a faster version of GPRS and works slightly less well than GPRS in terms of coverage.
HSDPA is essentially another name for 3G.
EDGE is a double speed GPRS, not well supported in Europe but they have it in the USA.
I carry a Thinkpad X60S 1704 lightweight laptop for flight planning. This has a built-in (Vodafone-locked, unfortunately) GPRS/3G module, and I so often find that wifi is either not available or is priced at silly rates, so I use that.
For airborne use, I have been playing with Thuraya satellite phones but need to do more work on it. It does work but (short of spending loads of money) only as a 9600 baud dial-up.
GPRS and 3G data is charged at the same rate per MB. On contracts, one often gets some free monthly allowance, though this tends to apply only to NON roaming usage (basically everything abroad is roaming - even a Vodafone UK SIM card connecting to Vodafone France is classed as 'roaming' - a huge ripoff). The juiciest contract deals have an allowance on roaming data too. PAYG data is usually expensive. There have been various deals on UK (non roaming) but roaming is usually £5 (Virgin) to £10 (Vodafone area) per MB - got to make sure those windoze and antivirus updates are disabled!!!! I had disabled all my auto updates and still blew away £20 on my last holiday because I forgot to disable Firefox auto updates and it downloaded 2MB of something.
In general, a mobile phone can be used as a modem with a laptop, especially with a bluetooth connection.