According to
this thread O2 UK (25MB for £2/day), Vodafone UK (25MB for £2/day) and Europasim (50MB for €3/day) are among the cheapest deals for data within the EU. Unfortunately there's still no affordable offer for heavier data usage.
In any case you should consider taking two or more SIM cards along so you always have an alternative if one of your SIMs doesn't work in a specific country or you run out of your daily data allowance.
On my last cruise in the Baltic Sea four years ago I first noticed that my Vodafone UK SIM was not charged for inbound calls using the onboard GSM network (run by Icelandic "On-Waves") despite it should have costed at least £ 1.50/min and then in St Petersburg I placed an hour long call to Germany with a German prepaid SIM that had just a few cents credit left, so this call obviously was not billed either. Playing a bit around and monitoring balances saved me a couple hundred bucks, which I wouldn't have spent anyway if those numerous and long calls would have been charged.
So sometimes it's really worth to travel with multiple SIM cards.