gulf,
Your best bet to find a SIM card is probably at Milano Centrale, as you'll have to go through there to connect with the train to Varenna. There are three stores there where you could buy a card - TIM, WIND and Media World. The largest network in Italy is TIM, so I'd probably start there.
I haven't checked the plans, but doubt very much whether you'll find one that provides the same rates throughout Europe. When you leave the country of purchase, you'll be "roaming" and the rates will be slightly higher (they're capped by the E.U., so not much higher). One issue could be how easily the plan can be topped-up once out of the country where it was purchased.
Another option you could look at would be to buy a SIM from one of the travel phone firms such as Roam Simple, Cellular Abroad, Telestial, Mobal or EuroBuzz (there are others). These will provide consistent rates throughout Europe and many use post-paid billing (calls charged to a credit card), so no issues with topping-up. The other advantage with these is that you'd have a working phone as soon as you step off the plane.