In London, I picked up very simple unlocked GSM phone (from CarPhone Warehouse) for $30 or so, and a pay-as-you-go Virgin SIM card. (You can do the same in other countries). I use it for cheap local calls (in Europe, incoming calls are always free to receive).
If you receive a call on your BBerry, you can see the number on call display and then call them back from your local phone. Not optimal, of course, but certainly cheaper and less stressful than swapping the SIM card in/out all the time!
Has anyone tried tethering (on Verizon) in Europe?