What Michael said.
If you use your AT&T plan, the rates are excessive. But if your iPhone is unlocked then I'd definitely recommend buying a local SIM and putting that in. I spent the last month roaming around Europe with my iPhone and I used several prepaid SIMs and they all worked great. EDGE is markedly faster over there too compared to T-Mobile in the US. Pandora didn't work - it saw that I was on a EU IP address and blocked me.... but everything else worked well and it was nice listening to NPR over there to catch up on the news.
If your iPhone is locked, then I would recommend just getting a prepaid phone and using that.