Actually, in the EU there is a huge market for SIM only plans, I think largely *because* of the fragmentation. Given that your mobile phone plan really only cheap in the country you bought it, it's not uncommon to buy an extra SIM when you go on holiday.
There are even providers that specialise in this: you select a country, a time period and a number of MB/minutes and they'll mail you a SIM card which you pop in when you reach your destination and pop out again when you go home. They don't even really need to advertise either, people who need it will go looking for them. But it does make locked phones somewhat worthless for normal use.
Ofcourse, for europeans going to the US, they can buy one SIM for one large area, which is reasonably attractive. I imagine this market will slowly disappear when the cost of roaming becomes more reasonable, either by competition or government regulation.