I'm located in San Francisco and subscribe to AT&T. I just got back from holiday in China and Thailand. I used local China Mobile & DTAC SIM cards. In both locations I had web access but found mixed success with the following applications.

Opera & BB Browser - Worked
iSkoot - Worked
Yahoo Go v2 - Worked
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BB Messenger - No Worky - Probably needs BIS support from local carrier.
Yahoo Messenger - No Worky - Local carrier might have that IP:Port blocked.
GPSED - No Worky - Local carrier might have that IP:Port blocked.
Google Maps - No Worky - Local carrier might have that IP:Port blocked.

Pay attention to local carrier data charges. Unless you pay extra for some sort of data plan the default plan might charge excessive fees for data usage. I had to top-up my credits in Thailand on a frequent basis. Not surprising as I was using Yahoo Go to upload photos to Flickr.