The most effective solution I have found is a 'dongle'. If you can get an unlocked one, you only need a SIM for each country you visit regularly, and depending on how many countries that is, it may or may not be practical, but it works for me across the 6 or so countries that I visit regularly.
The UK network Three' offers free roaming in several countries (I think it's branded 'Feel at Home'.
It's not a very fast solution, but it works fairly well, avoids high charges and slow speeds in hotels, and is not expensive.