My iPhone4 won't connect to a network when abroad

Since I upgraded from an iphone3GS to an iPhone4 it won't work abroad. Same service provider, O2, and both my previous iPhones worked. Have confirmed international calls are not blocked. My wife also got an iphone4 at the same time on an Orange contract and that is the same. Both synced to my iMac desktop which is the only common factor and which I have changed since the last time I used my 3GS abroad. Any ideas? I am away at the moment and need either of the phones to work.