I am travelling to various destinations in Southeast Asia. What is the best way to go about getting cell + data service? Is there a telecom that offers cheap roaming throughout a broad region, or will I need to get a SIM card in each country I travel to (most of my destinations will be a few days at a time, the most being a week, so this would be a bit inefficient)?
The best way to get cell phone service throughout Southeast Asia is to buy a SIM card in each country; probably at the airport when you land.
You can buy a SIM at most international airports with minimal wait. Less than $20.00 US will usually last you for a week (voice, data, SMS, and tethering). The greatest overhead will be for them to potentially copy your passport.
I've found this to be reasonably efficient; the cost of obtaining a SIM is easily outweighed by the benefit of having a fully functional smartphone. Furthermore, you have the experts there who usually have a decent command of English. I don't leave the stand until I am able to browse a website.
Like any system, the more familiar you are with it the easier it is to work with.
The bad news is that there's no sensible pan-Southeast Asian solution nor one in sight. There are no operators that cover the whole region, or even more than a country or two, and thanks to nationalistic telecoms policies and the lack of something like the EU cracking heads, this is unlikely to change anytime soon.
The good news is that prepaid SIMs are dirt cheap, ubiquitous and easy to get, you generally can pick them up in any corner store with minimal hassle for as little as US$1. So if you're willing to change cards and numbers every time you change countries, getting mobile service is not a problem.
(And as an aside, if you're traveling for pleasure and changing countries every few days you should probably reconsider your itinerary a bit, that's not enough to do any of the larger countries justice.)
If you have a contact in Hong Kong to get you a contracted simcard, you can use Hutchison ("3") data roaming. I am using this now since 3-4 years and I am very happy with it. They cover almost the whole world and you can go online for 168HKD per 24 hours, 88 for China, and Macau, HKG is included in the plan. They also allow tethering.
Smartone/Vodafone has a similar offer, by from my experience they do not allow tethering abroad.
This is a good idea if you are seldom in an office and depend on a reliable internet connection on the road.