If you have already served your contract term, you can legitimately request an unlocking code from your network provider. Check with your network supplier for your specific contract terms if you have signed one.
With your local SIM, you get cheaper call rates by eliminating roaming and you can receive incoming calls from anywhere in the world for free*!
*free incoming calls subject to network terms and conditions. Most European networks are free but you need to read the small print for the US.