Inquisitor, I don't need 1 SIM/country, I need 1 SIM/product sold.

Andy is right, I need them for telemetry. I need to find 1 type of prepay SIM card to use in all EU countries (for standarization reasons).

I see. Have you considered, that a lot of prepaid SIMs have limited data roaming capabilities? E.g. with all those German eplus-based prepaid SIMs (simyo, blau, solomo) there's is mostly only a single network per country, where data is supported, allthough there's (voice-)roaming for further networks. So if your telemetry device registers on one of the non-datacapable roaming networks it won't be able to establish a data session.

I was not even aware of that restriction. Thanks for sharing. Is that a restriction on the amount you can buy/register in a single day, or how many a single person can own??

In my experience the UK SIMs are best for this application. They have extensive roaming agreements and the best part is that they are free (or almost free) to acquire and are very easy to maintain. I have a few Virgin UK SIMs that I do not check into but I am surprised that they have never expired (It's been much more than a year since last use..). I especially like the fact that I can call their customer Service centre for free (from anywhere in the world) and then even recharge multiple SIMs in one go! However, the Virgin UK roaming GPRS tariff is not as attractive anymore as it once was!

It's a shame that the Spanish home market does not have a nice lowcost prepaid to offer for this sort of application. Yoigo is OK at 3Euros per MB but then there is also IVA and minimum spend per month! I cannot believe that Simyo here charge 10 Euros per MB whilst roaming in the EU!!!

Inquisitor, I would take that under consideration.

When I look for german vodafone SIM cards I found this on ebay "Maximal 2 Handy-Karten pro Person " ... do you have this restriction in Germany?

A lot of sellers won't sell you more than 2 or 3 SIMs at once, but if you buy them successively or from different sellers, there won't be a problem. Actually that's not a legal requirement but just a measure of the sellers, who will get less or no commission if a certain number of SIMs per person is exceeded.
Further Vodafone Germany have special prepaid data SIMs, which do not support voice communication (only SMS and data) - these so-called "WebSessions" SIMs are not being registered at all. Unfortunatley they are not sold soley, but only with USB modems. You might find some of those on eBay anyway.

Apart from the retail consumer tariffs we're mostly interested in, there are SIMs especially for data use (and I don't mean mobile broadband), with possibly useful features like fixed IP address or VPN

A couple of years ago, I'd see O2 and Vodafone versions on one website I used to visit, with £1 per MB rates compared to ordinary SIMs at £3. I don't know if they had roaming, and they don't seem to be on that site any more.

But I'd suggest some searches like data sim ip address and the equivalent in Spanish would be a starting point for more research. There seem to be mvno-like operations only for data, so-called m2m, and brand names I'd hardly heard of until the other day

I use Fishtext to send text messages which only costs like 2 euro cents a minute to send. Incoming text messages are free on many plans. It uses data, but the amount is tiny.