Getafix makes a very valid point about the local carriers.
The UAE used to be a World Traveller destination but this stopped. The networks there (Du and Etisalat) have long price fixed to ensure no real competition. They also ban VOIP services such as Skype to ensure they don't lose any revenue that way. There's a third network coming soon (Virgin Mobile) which sounds great but in reality they're owned by the parent company of Du so maybe not.
I don't know of any networks that have favourable roaming packages for this part of the world so a local sim is always best (even if they're 'well priced' in some places)
