GPS issue on Galaxy S when abroad
I've found the GPS Status app to be good for seeing what’s happening with the GPS sensor. It can also manually download AGPS data to improve the time to get a GPS fix.

According to the Wikipedia article on Assisted GPS, you need up to 12.5 minutes of continuous, clear signal to get a GPS fix without AGPS. It’s pure speculation on my part, but maybe your phone doesn’t download AGPS data automatically if you’re roaming and don’t have wifi.