Or you will be hit with a huge bill like Chris Anderson, the editor-in-chief of Wired:

Chris Anderson, the editor-in-chief of Wired, the US technology magazine, has revealed he was hit with $2,100 in charges for using his iPhone on a recent foreign trip, thanks to a glitch that led him to be charged each time the mobile handset automatically refreshed his e-mail inbox.
Mr Anderson said he was travelling in China when he received a message from AT&T, Apple’s US mobile partner, saying he should phone customer support to “prevent a costly bill”.
It later emerged that he had run up more than $2,000 in charges even though his iPhone had remained in his pocket for most of the trip, according to Mr Anderson.
He said the bulk of the charges were due to the fact that his iPhone was set to check his e-mail account for new messages every 10 minutes. The Wired editor said that he receives “hundreds” of e-mails every day.
[…]
AT&T also added that users “can very easily turn data roaming off with the flick of a switch” on the iPhone. This includes the e-mail feature.

Shouldn’t the editor-in-chief of a tech magazine know that? How embarrassing!
(via)