The big issue with iPhone outside the US is data. If you want to use things like e-mail, apps, or even just Google maps on the 3G system, then you should buy an international data plan. Otherwise, be sure that all your data-stuff, including e-mail fetching and push notifications, is turned off for 3G and only used when you have W-Fi access.
Just curious, how was the phone service in Canada? I have an iPhone and plan on purchasing an international calling card when I get to Toronto.
Earlier this year I was in Europe for a week. I purchased a 100MB international data plan from AT&T for $120 (price is now $50 for 125MB). I used 85MB in 7 days (being careful to not downloads videos and other data-rich stuff, and using Wi-Fi where I could). Had I used that same data on pay-as-you-go roaming, it would have cost about $1400. That would have been a rude wake-up call when the AT&T bill arrived.