Generally, when you cross the border into another country, you start roaming and pay a lot for it. The only exceptions are some smaller countries are served my the same infrastructure as another neighboring country (I live in Switzerland and don't roam when I go into Liechtenstein). You really don't get much coverage for your money in Europe, not like it is in the US.
In Switzerland, I'd recommend getting a Sunrise "T@keAway" prepaid USB modem and popping out the SIM, trim to size. I think it's about $3 per day of actual use, unlimited 3G. That's actually what I use here in my iPhone, the non-prepaid version is about $50 per month unlimited, and it allows voice calls and text messages as well.