When I was instructing I had a student from the UK come over to do his licenses in Ottawa (he was actually Canadian but had been living in the UK as his wife is British). He is now back in the UK converting everything to JAA, and says he saved a ton of money just due to the sheer cost of flying in the UK compared to Canada.
I heard something about Moncton Flight College having JAA approval or whatever it is, so you could check them out. Also, if you go to avcanada.com/forums2 there are several threads about JAA stuff.
Good luck!