Yep you can do this in pretty much any country, and it can be very worthwhile given the criminal roaming charges out there!
However make sure your handset isn't "network locked" before you travel - if it's network locked it will only work with a SIM card from the network that sold you the handset.
Others more expert will no doubt chip in about phone unlocking.. but as far as I'm aware to do it legitimately you just have to phone up your mobile phone company and they will do it for you no problem if it's a contract phone (as they've got you locked into a contract anyway) and if it's a pay as you go phone they'll do it if you've bought a certain amount of credit for it since you purchased the handset.
thanks,got myself a sim free phone,will look at sim cards when i get to oz.[p.s. i saw some sim cards for oz on e bay,for australia,you can get your number and use it when you land,you think this would work ok.]