Chister,
A few comments to add to the others....
If you're with one of the GSM networks (AT&T, T-Mobile), your phone uses a SIM card or Subscriber Identity Module, which contains your phone number and account information. It's a small card that fits into the back of the phone, usually under the battery. Most Cell Phone networks "lock" their phones so these can ONLY be used with a SIM from their network. If the phone is "unlocked" it will operate with a SIM card from any GSM network.
European cell networks use two frequency bands (900/1800) and North American networks use two different freqency bands (850/1900). If your GSM phone handset is a quad band model, then it has all four bands and should operate just fine in Europe. The fact that your phone "covers the right band" doesn't mean that it's unlocked.
If you're only going to be making occasional calls and receiving VERY FEW calls from the U.S., you might consider roaming with your home network. You won't have to worry about unlocking or buying another SIM. If you're expecting calls from the U.S., be sure to tell your contacts to CHECK THE TIME! Nothing worse than getting a call at 04:00 because some moron forgot the time zone difference!
Another option (if your phone is unlocked) would be to use a "travel SIM" from firms such as Cellular Abroad, Roam Simple, Mobal or Telestial. However, BE SURE to read the fine print carefully, so you have a clear understanding of the rates.
One VERY important point to note - if your phone is capable of data use (I-Phone, Blackberry), you might want to disable that feature as data roaming in Europe is incredibly EXPENSIVE!
One other point is to ensure that the Phone Charger is designed for "world operation" from 100-240 VAC. If not, you'll have to pack a Voltage Converter. IF IT IS designed to operate on Euro electrical systems, you'll need at least a Plug Adapter.