Apple have begun a limited initiative towards just that: http://www.apple.com/ipad/apple-sim/
Telephone and internet connectivity should really be like electric supply and other utilities. We should be able to connect wherever we are and pay as-we-go through our device.
As an interesting aside, here's look at just how complex SIMs are: https://news.ycombinator.com/item?id=12674846
They are practically equal to the computers we were using 30 years ago!