GoMadrid,
I haven't used this service yet, but have come across them several places recently. I just got a SideKickII at the beginning of the year which is a world phone but I had to wait 3 months before they would unlock the sim card so I could pop it out and use other sim cards.
This service looks like you can get a sim card delieved to you in the U.S. BEFORE you leave.
Telestial If you do use them, let me know how it goes. I am impatiently waiting for my next trip!