The answer really depends on what you want to pay.
If you buy an unlocked tri-band or quad-band cellphone, you should be able to use it anywhere in the world. However, it might still be wiser to use the same cell phone carrier (Cingular, t-mobile).
Be aware of the contract you sign. If you opt for a "pay as you go" plan, with a phone meeting the specifications above, you will likely pay more for the roaming service.
If the phone is unlocked, and is tri-quad band, you should, in theory, be able to buy the simm card for whichever country you're traveling.
Another option is to buy a "pay as you go" phone while in Europe. This way, you'll get a local number for whichever country you are in, and will be able to take advantage of all the local services and at the local rates (not the international roaming fee).
There is probably more to it than what I wrote, but what you really need is access to the European frequency bands at a low, non-commit, cost.
Perhaps a local from Europe can provide some intel regarding local cellphone fees.