When you travel overseas your phone is designed to search and connect to the best possible network after you arrive. This network is selected based on the technology in your phone and the agreements your carrier in Australia has with carriers overseas.
For example, if you are a Telstra customer and you travel to the US you might find your phone connects to the AT&T network. When you use your phone you are using AT&T's services, which it will then bill Telstra for, which in turn will bill you.
Your telco will have different arrangements with different telcos round the world and the high price of international roaming reflects the complexity of these agreements.
To save yourself from nasty surprises we suggest you read our in-depth guide to avoiding bill shock when travelling overseas.