Exams/Training outside JAA countries
Providing a FTO (flying training organisation) is approved by a JAA member state, JAA training can be undertaken at an approved FTO in any country.
Presently JAA courses are run in USA, Canada, Australia and used to be in South Africa too. There is an approved exam centre in Orlando Florida run by Delta Connection Academy which has been approved by the UK CAA.
In the USA all the approved JAA FTO are approved by the UK CAA. The only downside is that you must fly the multiengine IR in European airspace.
I looked at the Delta Connections Academy course at Sanford which would have cost me $54 000 (30 000 sterling) start to finish. The ME IR could be flown at Coventry with Atlantic Flight Training or any other UK FTO, Bristol or Oxford for instance.
Doing it in the US is certainly cost effective and fully recognised. Not only that, it is quicker because the weather is more reliable. Cost of living is also cheaper - petrol is only 98p per US gallon!