Technically speaking, there is no such thing as a "USB roaming connection". USB is just a way to connect devices - including various kinds of networking devices - to computers. Most likely, this is referring to the new trend of mass-marketing mobile phone data networks to mobile computer users. In this case, the USB device is a mobile phone without the voice capability, and the data network is the 3G/HSDPA rapidly becoming available across Europe (and, slooooowly, dragging its feet across the US...). In a 3G/HSDPA area, with a good signal, you can get several hundred kilobits/second with relatively low latency - something similar in performance to the first generation of ADSL several years ago, and certainly good enough to regular work and web browsing.

I've only looked for prices on this service in Spain, where it runs around €50 to €60/month (probably plus tax) for "unlimited" use. There are different ways of defining "unlimited" depending on the carrier. Last I looked a few months ago, Vodafone had what I considered the best combination - a very large quota monthly at the highest data rates supported by the mobile network, after which quota is used up a slower but still usable for email and basic web browsing rate until the beginning of the next month. I think Telefonica's plan had penalty rates if you went over a (comparable) monthly quota.

So, unless your plan is to actually need to exceed the fairly generous monthly quotas, and assuming you don't mind committing to €60/month or so (which is unrelated to your regular mobile bill - totally in addition to your regular mobile bill) and you will be in the 3G/HSDPA areas, this is a good solution.

Your somewhat less expensive and much less generally available alternative is to sign up for one of the WiFi / 802.11 networks (coffee shops, airports, etc) at which you'll get comparable or slightly faster speeds only when you're in range of one of these businesses - rather hit-or-miss.

Or, if you're so lucky as to spend most of your time in one of the few towns which have built out ubiquitous public WiFi networks, that's of course even better.

Cheers,
Jay
(still from Atlanta; still waiting on the visa; still planning to be living in Barcelona by the end of the year!)