I just returned from a vacation in Spain/Italy. I have a ATT iPhone 6+ which I got unlocked. I purchased an orange sim card in Spain(2 Gig data + 5 Euro credit for talk). The service in Spain was spectacular., the service was solid in Madrid/Barcelona/Madrid. Although Orange has a LTE network, post paid service is limited to 3G, but I was getting fantastic download speeds(about 10 Mb/s). They also allow tethering.
Further when I travelled to Italy, my Spanish sim just started roaming with no data. I decided to purchase a sim in Italy and I ended spending another 20 Euros for a TIM sim. TIM service was ok, I got occasional LTE service in Rome, Florence & Naples, but primarily it was 3G. Orange's service in Spain was much more reliable. I got 2 gig's of data. TIM does not offer tethering.
I initially thought I would use wifi, but it is just painful to use. The free wifi offered by many restaurants were just too slow. The money I spent on these sim cards were well worth it.
Make sure you have your passport, the activation in Italy as pointed out by an earlier poster took a bit longer than Spain. Please pm me with any specific questions.