using an ipad on 3g in europe

[iloveglee]

I have just bought an i-pad in the usa, so the sim from at&t is obviously no use. I am travelling through europe soon and want to use the ipad to access the internet for directions and hotel booking, e-mails home etc. nothing too complicated - one would have thought. I don't want, or need, to take out a regular monthly contract and thought I would be able to purchase a pay as you go, weekly or monthly as they assured me when I bought it I would be able to do. And they were right, I could buy this arrangement from various providers, but only for the uk. Take it to europe and the download prices become outrageous. Has anyone actually done this, is it possible to buy a sim from a provider once I arrive in europe and would it be usable in any country. Or, would I have to buy one in every country I travel through, which could be a problem. I don't really want to be constantly having to find a mcdonalds for their free wi-fi.