KimboKK,
Well like Kopeloi wrote, you can have a license issued by the UK CAA. It will be fine for any JAA state. I won't be doing any of my flight training in Sweden as it is too expensive. Florida, Naples Air Center, is probably the cheapest for the JAA ground school and commercial conversion. I'm hear Spain is probably the next cheapest place. As for not being able to fly in Finland on a UK issued JAA license
I'm not really sure, but you might want to call the Finnish aviation authorities and confirm that.
Kopeloi, I don't really understand what this means. Could you clarify
"Just a word of warning. Before you give out some sensitive information make sure that you do not give it someone like a journo or tax office..."