When traveling internationally, you want to make sure you us Airplane mode when you are not under U.S. coverage. You can still access a wifi connection with Airplane mode active. You also want to turn your cellular data off in the Settings. That way you don't get any data charges.
If you want to stay connected to mobile phone service even if you travel away from your cell carrier's network, data roaming should be switched “on.” But if you want to avoid fees and you're aware of the risks of losing connectivity, then you can turn data roaming to “off.”