While in the UK recently, I picked up the Huawei E585 3G MiFi offered by the Three network. For £49.99 you can get the modem as Pay-As-You-Go, which means no commitment. 3GB will cost you £15 or for £70 you can get it with 3GB that will expire after 3 months. The device is of course locked to the Three network, but €7 takes care of that nicely (you'll need a Windows machine or VM).
The device itself is small and slim and I was able to go most of a day running it and connecting to the Internet via the MiFi from my iPhone.
I'm currently in The Netherlands and have a Vodafone PAYG SIM. Currently, they're offering 30 days "unlimited" Internet if you top up with €20. Normally this costs €9.50, so that's not a bad deal. Note that none of these "unlimited" Internet plans are really unlimited. Vodafone NL's current small print says that it they will cut you off if you exceed 10x the average bandwidth being consumed. Not entirely sure what this really means, but don't be doing bittorrenting...
The Huawei E585 has web-based configuration like any router. In this case, it is accessed by connecting to the SSID and hitting http://3.home. On the iPhone, you get a reduced functionality interface, but opening the same URL on a Mac or PC gives you much broader access to the device. You can set up multiple connection profiles, which is important when using SIMs other than the one from Three. In the case of Vodafone NL, the settings are:
Connection Number: *99#
User Name: vodafone
IP Address: Dynamic
These are different to the ones I use on the iPhone for instance, which uses live.vodafone.nl as the APN. I found the above settings by trial and error and they are the only ones I could get to work.