The US doesn't use GSM in its standard form, as a result there are few phones that work in the US and elsewhere. Standard GSM uses 900 MHz and 1800 MHz bands; GSM on the 1800 MHz band is sometimes called DCS. Most countries use both bands. However, some countries only use one band.
In the US, GSM is only available on 1900 MHz (which is used virtually nowhere else in the world).
Ideally, you need to get a 'Tri-band' phone: I think the Nokia 6310 is available in Tri-band, Siemens S40 is Tri-band, and there are a few others that I can't think of at the moment.
There are also some 'dual-band' phones which replace one of the standard GSM bandswith the USA GSM band - these will work, but will limit your choice of networks abroad and may not be usable in some countries.
And if you thought the situation was going to be any better, 3GSM will offer 3 optional modes of transmission, these will probably end up being deployed in a similar manner to GSM now - one mode for Europe, Asia, Oceania and Japan, one for the US, one possibly for China.