My company phone is with Sprint and we get unlimited data. For an extra $40, i can get one month of unlimited data while I am traveling. Many hotels in Europe charge €15 per day for internet, so it is much cheaper to go that route. I generally tether my laptop too.

An other trick I use is buying a prepaid sim card and putting in a cheapie "unlocked" phone. That way you can make local calls (and for having locals call you) without incurring roaming charges. On many of these prepay phones, it is cheaper to call back to the US than it is paying for roaming on my US phone.

Of course this is for business and therefore is not out of my pocket. When I travel on my own dime, I use the free wifi wherever I can and keep calls to a minimum.