1. AFAIK, national roaming doesn't affect data services. I've used it in Uttar Pradesh, Haryana, and Uttarakhand, apart from Delhi.
2. Yes, just like purchasing any other hardware we are required to take care of things, same is with data cards. There are various things we should take care of while purchasing one.
a. The maximum Uplink and Downlink speeds: The higher, the better. Normally, most data cards have a max downlink speed of 7.2 Mbps (Megabits per second), commonly called HSDPA and a max uplink speed of 5.76 Mbps known as HSUPA. This collectively is called HSPA. Since now, most service providers including Airtel and Reliance are providing speeds in excess to HSPA+ i.e. 21.6 Mbps and 28.8 Mbps Downlink speeds respectively. Can't say about others. It's not that hard to find one with downlink speed of 21.6 Mbps. Though, they are a bit costlier than the 7.2 Mbps ones, but if you're getting download speeds anywhere above 10 Mbps, it's worth the premium.
b. The User Interface and driver support for OS'es: The user interface and support for OS'es is also an important factor. For example, my Lava 720G has drivers for Windows XP only. Though it runs well on windows 7, but doesn't on windows 8, so I am required to start the application, then connect the data card to the internet from the Internet Connectivity Options available in Windows. Lava has stopped it's production. The new model from lava, i.e. the 730G has almost the same features with somewhat small form factor, but, it's not as good. That's why I don't recommend it to anyone. The user interface should be user friendly and also should not compromise with features. The addition of features like sending and receiving SMS's and the ability to make and receive phone calls also adds to the list of advantages.
3. In most cases, no. Most of the telecom service providers have separate plans for data cards and mobile phones, among which the plans for Data cards are cheaper than those for mobile services, but in that, you're losing the flexibility to switch operators as per your choice, and not to mention added features like SMS and phone calls. Since, using third party unlocked data card, you'll be purchasing a separate sim card for your data card, you'll have to select a 3G data plan available for mobile devices, and given that the 3G data tariffs have really come down to very affordable prices, IMO, it's good to go in for an unlocked data card with normal mobile sim card.
