A lot will depend on the style of camping that you follow. Most sites in Europe have electricity, albeit sometimes of variable amperage. So you can usually run the basic equipment without resorting to gas. I find that a full Calor 7.5 kg butane cylinder is easily lasting a full season and like Rob-Jax I take a Camping Gaz 907 as well. This I use for the BBQ, and of course is back up if the Calor one does go pear shaped at the wrong time. As Rob also states, this can be exchanged anywhere virtually in Europe, so you ill always have something. I would only see value in buying local cylinders if you plan on staying in one country for a long time, a normal 2,3 or week holiday is not economic. It is too easy to end up with a garage full of cylinders which have no intrinsic value, and could lead to prosecution from your Council.
If however, your choice of holiday is wild camping, where gas is used 100%, then you may need to look at alternatives.