[inquisitor]

Thank you, petkow.

I'm asking because of my experience with a French Orange SIM, which I bought on eBay last summer. When it arrived here in Germany, it registered immediately on German networks, but the SIM wasn't activated properly. The phone number was unreachable and SMS didn't arrive, too. Also outgoing calls, texts and USSD-commands failed, allthough there was an initial credit on the SIM.
After I arrived in France and registered on the Orange network for the first time, everything was fine and also back in Germany I could use all services, that failed before.
Other operators like MTel in Bulgaria require an activation call from within their network in order a phone number to be assigned to one's SIM.
However that question needs a definitve answer, so I just ordered a British Vodafone SIM on eBay.co.uk and will let you know, if it works without ever having been registered on it's home network.

Actually, as long as you stay in Europe, a British Vodafone SIM is the best deal you can get, if you find a way to trigger callbacks for cheap. Does anyone have experience in setting up your own SMS gateway?