I can use my iPhone pretty much anywhere, but ATT is going to charge me $1.30 a minute for calls, $.50 per text, and $.02 per KB for data while in Denmark.
ATT requires international activation but they do offer some tips for international roamers. I bought an international iPhone data plan (20MB for $25), but I also learned that visual voice mail counts against that (regular voice mail counts against minutes, at the $1.30 rate). I could have paid $6 a month to get a discounted voice rate, but I’d have to make 20 minutes of calls for it to pay off. And there’s no plan to give me discounted SMS.