There are lots of options, the easier ones tend to be the more expensive ones though :-). Picking up a local SIM is generally the cheapest. The easier options cost more. Europe has been pretty aggressive at cutting (out) roaming charges recently so getting a SIM in one European country and then roaming with it elsewhere in Europe can be a good option.
I’ve used this site http://www.prepaidsimcard.org in the past. The Austria one is a 3 SIM that works in a few different countries. The New Zealand one is a 3 UK that works in a few more countries with a lot more data (and costs more).
eKit have been around for a while (Contiki actually supplies one of their SIMs in their packs, at least they did last year) and they have lots of options. They’ve never really seemed that cheap to me though.
I now use this really neat sticker thingy from KnowRoaming that you apply to your current SIM and when it detects that you are overseas it takes over from your normal SIM. Again not the cheapest option but it works in heaps of countries and the SIM swap is done automatically/in software so it is really easy to swap back and forth between your home SIM and the KnowRoaming “SIM” (amazing how small it is too!).