Update: Wikipedia has very useful information regarding worldwide emergency numbers.
I received the following via email and have indeed verified that 112 can be dialled even if the keypad is locked. I tried this on a motorola, nokia, samsung phone. The samsung phone, after keying in 112, cutely displays "Call SOS". FWIW, I didn't complete the call though - didn't want the police hounding my back :)
MOBILE USERS - NUMBER CAN BE DIALED WITHOUT SIM CARD DURING EMERGENCY. The Emergency Number worldwide for GSM Mobile is 112 and not 999. You can dial 112 even without a Sim Card. If you find yourself out of coverage area of your mobile network and there is an emergency, dial 112 and the mobile will search any existing network to establish the emergency number for you. Do share this important info with others too. Hope you'll never need to use it though! and interestingly ... this number 112 can be dialed even while the keypad is locked.