How (and how well) do Wireless "Worldphones" Work?

Milo_Mindbender asks: "I've seen a number of new phones (like the Sony T616) advertised as 'worldphones' that handle three or four GSM bands. As someone who travels to Japan and Europe occasionally I'm wondering how (and how well) these actually work. Can you get a temporary or prepaid SIM with a local carrier and just swap it or are the US carriers 'service locking' phones so you have to do international roaming with them even in foreign countries?"