I would love to be able to do this with my iPhone. It would be very nice if you could, especially if you promise to maintain a presence on an official Apple carrier. The problem is that the iPhone is locked to the provider in your local country from whom you get service. In the USA, that means that AT&T has a lock on your phone and you can't just drop any old SIM chip in it. If you could, then you could switch over to T-Mobile and some other competitor who might give you GSM access. For people traveling internationally, you need that unlocked phone to put a SIM in, even if it is an O2-sanctioned iPhone SIM.
I suppose you could reload firmware in the UK via iTunes, but I am not sure that would work. Meanwhile, I have my old KRZR which AT&T kindly unlocked for me. I can use it PAYG on O2 just fine.
One shortcoming of the current iPhone is that it isn't really "international" the way we have come to expect.
Also, if you are roaming internationally, be careful and turn off data and visual voicemail. Otherwise you are going to get creamed with international data charges which are, in a word, expensive. AT&T has some plans that mitigate that, but you need to be careful.
If you jailbreak your iPhone, then all bets are off. The above advice only applies to official, unmodified, Apple versions for people playing by their license agreement.
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