Before buying any GPRS/GSM shield you should check the bandwith in wich it works. For example I bought this one:
and in specifications it shows this
works on frequencies EGSM 900MHz/DCS 1800MHz and GSM850 MHz/PCS 1900MHz.
Im from Argentina, and I know that the 3 cellphone companies here work on tohse bandwith so I wont have any troubles working with any of them.
Most of this shield do not come with a SIM card, because that depends on your country companies. Im not sure, but i doubt they do.
As for the comunication, there are plenty of libraries, not sure they work. I connect by serial and use ATcomands (probably you should read about that too, about the limitations and if its compatible with your project). Anyways, im not sure if I answered your question. But as long as the shield bandwith is compatible with the companies on your country, I dont see any obstacle on getting a cheap one over the expensive one (besides some features the expensive one may have).