Sim cards hold very little data. Phone numbers and names from your address book can be stored on a SIM card but that is it. The SIM card is not meant to be a storage device, it is meant to serve as a network identifier for each individual subscriber, think of it as a credit card for your cell phone. By having a SIM card you are able to remove it from one phone and put it into any GSM phone and have that phone work with your information as far as your phone number and your account goes.
T-Mobile and Cingular are the only GSM carriers in the United States at this time that I am aware of.
Switching your service to a GSM carrier and SIM card type phone will most likely not help you solve your data dillema. I would check with all of the carriers to see what their coverage foot print is like and make sure that Lake Havasu is part of it. Most often people make the mistake of thinking that if their phone works somewhere their data will work too but that is definitely not the case. I believe (but am not positive) Cingular and T-Mobile both have data services in Lake Havasu, but I don't think that Edge is available there yet so you would be able to get emails and such but you would not be able to browse at high speeds.
If you are looking for phones that can have large storage capacity look for a phone with a SD or mini SD memory card. Most PDA type phones these days have SD or mini SD slots so you can add a couple gigs of memory to the phone if you would like too.