I would like a list of what GSM frequencies are available to roam on
in all major cities of the world. If there is no list on the web,
please provide info for New Delhi, Bombay (Mumbai), Rio de Janiero,
London, Paris, Barcelona, Sydney.

GSM phones as far as I know are only available in 900/1800/1900MHz
variations. So it has to be one of them. I believe 1900MHz is only
used in North America, although I could be wrong. Frequencies are also
dependent on the network used and not only on geographical area.

Yes, 900,1800,1900 are the frequencies. I want to know what cities use
which.  For example, i am pretty sure Delhi is on 1800 and BOmbay is
on 900, because a GSM phone I bought in INdia is a dual band with
those frequencies.  A USA GSM phone I have is 900/1900 (i think). 
What I want is a list like this

City, Frequency, Network providing that frequency

for example

Delhi, 900, Hutchinson Essar (Hutch)
Bombay, 1800, Orange

http://www.gsmworld.com/index.shtml lists the frequencies of GSM
around the world. There are 5 GSM frequencies in use in the world
900 / 1800 - Most of the world uses these, 1800 tends to be used to
supplement 900 in urban areas, although there are networks which are
solely 1800
850 / 1900 - US / Canada / Mexico (perhaps more of central America?)

There is also 450 which is rarely used but has been approved for use
but I don't know of a netowrk using it.

Your cities should all be covered by a 900MHz phone except for Brazil
which I think is all 1800Mhz