I was planning to switch from o2--> vodafone to take advantage of cheap data roaming but they fucked up transfer at last minute before I went to Primavera in May.
If your 4S is unlocked, you could consider getting a prepaid Yoigo SIM in Spain. SIM cost €20 (think it was a nominal fee for SIM but you had to top it up). €8 for 500mb to be used within a month. You can pick one up from any Carphone Warehouse, don't forget, you need to present an official ID to purchase SIMs in Spain.
Nope. Not unlocked but gives me the excuse to stay off the grid. I'll just say it costs a fortune so my family stays off my back. No one else needs to be in contact with me or vise versa. Family is just paranoid.