As you've pointed out, US iPhones are locked to AT&T. Fundamentally, that's your only real issue here. If you can unlock your iPhone, then your suggesting of just picking up a micro-sim and using it for data and calls works perfectly. In the UK, we can buy iPhones unlocked, and get our network operators to unlock them.
What you described is exactly what I've done when travelling abroad, but it's entirely reliant on having an unlocked device to start with. From there, you should be good to go. In the UK, there's a massive range of low-cost, pay as you SIM only options to choose from. O2 do a big range of SIM only deals, including micro-sim plans (see here).
The other option to consider is, if you're looking to upgrade to an iPhone 4 anytime soon, buy it abroad, from the UK, unlocked, and then you won't have to jailbreak it in the future. UK and European iPhone models will work perfectly well in the US, and they come with a global warranty as well.
You are in Brazil (so am I), so you can't just dial the "+" in front of the country code. You need to dial "00" and the CSP (the long distance operator code).
What happens is that some operators (Oi and Claro, for sure) have a JavaCard application in the SIM card that intercepts every call you place and before send the dialed number to the network verifies if you are in a situation that you should need to add a CSP or not, and adds the operators own CSP in that case, if there isn't one in the dialed number.
So, for example, if I'm in Rio (area code 21) and dial a call to (24) 9999-8888, which is a long distance call, the application will add "0"+ to my number. The same if I'm in Petrópolis (area code 24), since my MSISDN is from Rio.
On the other side, if I register my phone numbers using the international notation, the application is smart enough to remove the "+" and the country code and add the "0" and the CSP, unless it realizes that you're roaming abroad.
Besides Oi and Claro, I would guess that Vivo also uses an application like that, since it buys SIM cards from the same manufacturers.
TIM has a different application in their SIM cards that modifies the phone numbers in your SIM card to add the CSP 41. It is a lame solution and I regret every time I have to use a TIM mobile.
If it is enough for you to have an application like TIM's, there are at least two in the brazilian App Store that will edit the iPhone's Address Book:
- [Minha Operadora](http://itunes.apple.com/br/app/minha-operadora/id401640256?mt=8)
- [DDD Fácil](http://itunes.apple.com/br/app/ddd-facil/id381994693?mt=8)
I haven't tested either, so I can't offer advice on how well they work.
Otherwise, you will probably have to go back to an operator that offer that application in the SIM card (there is no way for a user to add apps to their SIM card by themselves).
Best Answer
The iPhone 4 came in two flavors: CDMA (Verizon, Virgin, etc.) and GSM (AT&T, T-Mobile, etc.).
The GSM phone will work, however it will incur international roaming charges. Your CDMA version on the other hand will not work in most countries outside of the US.
I would recommend upgrading to the 4S or 5 as changing carriers will not change the radio in your phone.