Some of my friends and family here in the US really scratch their head and wonder why I have such an insistence on using a GSM carrier. There are a number of reasons, but I think that the main reason is the SIM card. SIM is an acronym for Subscriber Information Module and its job is to keep your information on it; so your phone number and account number is on the card, no matter what phone the card is in! If you break your phone, you can buy a cheap phone, stick your SIM in it, and you're good to go! No need to go to the at&t (or t-mobile) store, get charged activation fees, and waste your time (and money) for nothing.
Way back when (in 1996) the SIM only had 8 kilobytes of memory, these days they come in 64k and 128k varieties which allow the use to store short messages on the SIM, store their phonebook, and they provide SIM application toolkits. SIM toolkits allow for certain value added applications, like mobile banking and on demand news by SMS, to be included in the SIM card itself. In short, this means that no matter what phone you put in your SIM in, you will have your addressbook, your provider's applications and your saved SMS messages.

Conversely, you can put any SIM in your phone. If you are traveling abroad, and you don't want to use your home provider with roaming (due to the insane roaming costs), you can easily get SIM-only prepaid packages. This gives you a SIM with a local number for that country. Take a country like Greece for example. You can get SIMs from eight different providers, this means that you can pick and choose which company you want to give your money to, based on the service they provide and costs associated.