We have three cell phones we bought over the past few years for Europe. All are UNLOCKED cell phones, purchased through eBay in the US. Once we had the phones we purchased SIM cards. In the past I've had cards for the UK and France, as we traveled there 1-2 times a year.
Now we all have Italy SIM cards. We're on the "TIM" network. There's also "WIND" and Vodaphone here in Italy. Rates on TIM for calls to other TIM customers are about 12-15 cents a minute. Calling the States costs us about 60-65 cents a minute. Rates to other European cities JUST CHANGED and were cut in HALF by new European Union legislation (Hooray!).
If you use your phone once every 6 months the number you have stays active. I thus have about 6 phone numbers available to me, although as of late we rarely use the UK and France SIM cards. You can purchase "re-charges" at Tabachi shops, grocery stores, electronics stores, some cafe's, and so on. For TIM, they come in 10, 30, 50, and 100 Euro increments. I've also bought SIM cards through the web and on eBay so I would already have a phone number BEFORE I left the country - needed my kids (22 & 26) to be able to find me in case of emergency.
Again, there are good prices here in Europe for phones but you can match or beat them with patience on eBay! Just make sure to get an unlocked, and at minimum, a tri-band phone!