The answer is simple, and this goes for any phone. You can use your cell phone anywhere in the world, as long as its frequency is supported in the country you are going to. For the iPhone, it is Quand-band, GSM, meaning it will work worldwide on 4 different frequencies. I have a phone from Europe that is only dual-band. It will not work in the Netherlands, for instance. If it were Quad-band, it would.
Now, that said, in order for the iPhone to accept SIM cards from other countries, or to sign up with a carrier abroad, you need to unlock it. EVERY SINGLE PHONE CAN BE UNLOCKED. Many stores actually provide this service for free or just a few bucks. You can also do it yourself.
Lastly, if you are on a plan with a carrier in the US or Canada, you can use your iPhone anywhere a GSM network is supported, which is pretty much everywhere. With 4 frequencies, you are covered worldwide.