I hear there a prepay simcard you can get that allows sensible charges through Europe. It's the German simYo. I hear you need a German delivery address though. Pretty handy for travelling Europe.
And yes, data is sensible... I think Spain and France covered... €9.90 for a month, 1gb.
Here's the Spainish forum for SimYo:
and simYo germany:
Yeah, it's all in German. So post your comments below to help each other.
It's still better to have local sims but if you're traveling all over Europe this is much better.