I used my AT&T blackberry 8800 in Egypt without any problems at all and didn't have to get a local SIM for data.

All I did was switch to the AT&T Blackberry International Unlimited plan so I was able to get my email, use gmail, google maps (comes in handy when trying to find places in Cairo). I didn't use the phone for voice at all since AT&T asks you to bend over then charges $2.49 a minute. Instead I picked up a local SIM card and a cheap Nokia phone and got a local number. Then I "Call forwarded" my Vonage phone# in the US over to the Egyptian number and only paid 18cents a minute for my incoming calls from the U.S.
AT&T also locks you in now for a year when you switch to the International plan. You used to be able to switch back and forth ...

Sam