First of all, "Europe" is a pretty big place. Cell phone plans and data availability vary greatly from one country to another -- Ireland may be cheap, but Switzerland will be expensive. Cyprus will offer data at an exorbitant rate, and Greece might squeak by with GPRS..But they all run on GSM. The same goes for Wifi: some places (Germany) will have tons of Wifi hotspots; others will have next to none (Italy). But very few APs will be open. So check your country and your program. Boingo's $8/month deal might make sense for you; or it could be too much, or useless.
So it all depends on the country in question. How much of a PITA it's gonna be depends on the country too. In any case, even Switzerland's pay-as-you go service beats the pants off those US international roaming prices.
Yes, the earbuds supplied is actually a headset. There's a button on it too to answer calls.