Without a shadow of a doubt I would get a local SIM in the Netherlands rather than dataroam. I don't have much experience on the best deals in the Netherlands at the moment but there really are so many on offer. e.g. simyo.nl have 1GB for 10 Euros. I am not too sure where you can pick up cards though. See:
http://www.simyo.nl/sim-only
Otherwise, you could always go into an Aldi store there and pick up one of their cards. They have a 30 day bundle with 750MB for 19.99 Euros.
http://www.medionmobile.nl/web/ and unlike Simyo there is no activation charge or monthly minimum spend requirement.
I am sure other members maybe able to add more deals.