Basically, the rest of the world runs on GSM while the US has GSM (AT&T or TMobile) or CDMA (Sprint or Verizon). There are of course exception to this such as Japan which I've never understood.
GSM phones,when unlocked, allow you to hop carriers by swapping out the SIM card. This allows you to pick up a prepaid SIM when you travel overseas and use your phone without having to roam on your US provider. In case you don't know, international roaming is very costly.
CDMA world phones have both the CDMA radio (for US coverage) and a SIM slot for overseas GSM coverage either using a SIM from your US carrier or if unlocked, any carrier.
There's a few details to make it a true world phone. For voice, there are 4 frequencies used worldwide so most "world" phones would have a quadband GSM radio. For data, it gets tricky, I won't even go there.
I only use my Palm Pre in the US but when I travel overseas, I basically carry a second unlocked GSM quadband phne to use with local prepaid SIM cards.
If the Pre3 comes to Sprint, I can use it anywhere
edit: took me a while to type this up, looks like someone beat me to it