Japan has been the one place (well, besides Diego Garcia, but they just don't have service at all) my phone hasn't worked - they're running quad-band shit, all way ahead of what we are.
As has been said, text messages are the way to go.
W/ Cingular, the International plan is another 10 bucks a month I believe, plus whatever charges you incur using it internationally. The rates vary from place to place. Also, I haven't had to do any code or sim card BS, it all just works. Have a Moto Razor for a phone.
For me, it doesn't cost me too much, as I'm single - I don't have a girlfriend or wife at home to help run up the charges. Honestly I have it for emergencies, so people like my landlord or family can get ahold of me if need be, friends can sort of stay in touch, etc, etc. I actually use it as my alarm clock wherever I go too.
The tanker guys at the 'died (Forko Grande at the moment) have squadron iridium phones, so they can stay in touch with family, no matter where they are...and avoid the "morale line" issues you get with the DSN system.