BlackBerry phones do use BlackBerry Internet Service (BIS) as opposed to standard TCP/IP via an APN. This means that a secure link is made between your phone and RIM's servers (or directly to a company's servers — that why many enterprises still use BlackBerry). And it's also compressed — good thing when using slow connections or roaming.
It goes a bit further, because the "network stack" made by RIM is quite comprehensive, including some tweaks to the way they push information to devices, using operator infrastructure (I believe, I might be wrong here) resulting in a very battery-efficient system.
Because of this, RIM is responsible of negotiating with carriers across different countries, and this result, somehow, in the ability to sign up for sub-100$ / month roaming plans (in fact, it's 55$/month on roaming, pro rata, for me in Spain with a major carrier). Of course, it depends on your home carrier, some want you to keep paying an expensive price per megabyte —around 14$/MB when travelling outside the EU— and then some others let you use roaming as long as you're on BIS (so, no tethering), for a variable amount, or even included in the price for large enterprise plans. It varies depending on each operator and country. On the UK for example, MVNO giffgaff includes a small amount of complimentary roaming data, even for PAYG users.
On a side note, that also means you can tether to a BlackBerry PlayBook while roaming, which is fantastic. I have found roaming to be a bit slow-ish (around the speeds of EDGE even under HSPA), but for email and some random browsing, like reading the news while waiting for a flight on some random country, it is definitely worth it.
(And yes, the PlayBook sucks, someone thought it was a brilliant idea to just release and sell a device with a half-finished operating system — but it does the job.)