With a local SIM card, you can take advantage of packages that are available to the local population, which are adjusted to local prices, meaning that your expenses will be considerably lower than when you roam with an international plan or Pay As You Go roaming rates.
If you are visiting multiple destinations in one area, for example, Southeast Asia, then I would recommend reading the sub-continent guides (in this case, the Southeast Asia guide). If you are visiting a single destination, let's say Australia, then the Australia-specific guide would be useful to you.
Depending on your source, a country may be considered to be part of one continent (for example: Turkey & Russia – both Europe and Asia), while another source will say something else. As a result, a destination may be listed twice on this page, but the information will still be accurate.
(Oh, by the way, it has come to my attention that the format of the content below is a bit messed up when on mobile. The links to African and Central American countries get pushed down to Asia for some weird reason. I am working on a fix. In the meantime, I would recommend enabling the desktop mode on your mobile browser so that you can find your preferred destination easier.)