You can now purchase a $60-per-month -- on top of your current bill -- add-on to AT&T iPhone service that will afford you 50MB of international GPRS (EDGE in the United States) data transfer (20MB will set you back $25). This is still expensive (over $1 per MB), but better than the previous international data roaming scheme which was billed at $5/MB in select countries ("DataConnect Global" countries), and nearly $20/MB in other countries, resulting in some ridiculous bills.
The overage rate is $.005/KB within 29 discounted countries, and $.010/KB anywhere else, with exceptions.
It should be noted that the iPhone will automatically download data over available data networks without notifying the user for applications like Stocks, Weather, etc and other purposes which we can?t yet identify. Even if a user deletes all companies from the Stocks application, and cities from Weather application, data transfer may still take place. (You can check data transfer stats in the in the Usage section of the Settings application.) In other words, even if you have turned off off all options you think could result in data access and don't directly access any data functions, you could still find transfers of several hundred KB on your bill.
iPhone Software/Firmware update 1.1.1 introduced the ability to turn off EDGE data roaming, and there's also a third-party native application for turning off EDGE completely.
[This change in international data pricing was first spotted by Ars Technica]