At the moment I'm on holiday in the Canary Islands (part of Spain). Before travelling I checked with my operator (Vodafone IE) re data roaming packages. The best they could do is €12 per day for 50MB after which €1 is charged per additional MB (down from €5/MB a few years ago!). I need about 100MB per day so that's €12 for the first 50MB and €50 for the next 50MB: a total of €62 per day, or €620 for a 10 day trip! Added to this is the complication that between myself and the wife we have 6 WiFi devices (2 x laptops, 2 x smartphones, a Kindle and an Android tablet). Our hotel WiFi is locked to a single device, is expensive, slow (128kbps?!), and is only accessible in certain areas (not our rooms).
I found a nice solution. I purchased a pay-as-you-go SIM from a local Vodafone shop (a €9 once off charge and you'll need photo ID to make that purchase). I then applied a data top-up to that SIM: €15 for 1GB lasting one week or €20 for 1GB lasting up to a month. I inserted the SIM into my Samsung Galaxy Tab 10.1v and started the portable hotspot mode (under Settings -> Wireless & networking -> Tethering and portable hotspot -> Portable WiFi Hotspot). Bingo: a portable WiFi hotspot good for up to 5 devices.
The Galaxy Tab's battery life is sufficient that I can carry the tablet in my day bag and have enough power to keep all our devices continuously connected no matter where we were. The Galaxy Tab has security disabled by default: I'd strongly recommend enabling security to prevent others nearby gaining unauthorized access to precious bandwidth (the mobile network here is good... it won't take long to download a full 1GB).
There are still a few problems (which I'm sure there are good solutions out there): Android 3.0 (Honeycomb) installed on the Galaxy Tab 10.1v (aka GT-P7100) seems to have no ability to report current or historical bandwidth use. I believe this has been addressed in Android 4.0 which I eagerly look forward to. Also I haven't figured out how to get remaining data credit on my SIM. And finally Windows 7: in the first few minutes after connecting it seems to go through megabytes per minute: presumably software updaters phoning home, Facebook, GMail brower windows fetching updates etc. It seems to settle down to a reasonable rate after a minute when about 5MB is consumed.