Have a look at the "Dunnuda and Godzone" forums to talk to people already in NZ. There are plenty of expats there too. They'll be able to give you good advice about training in NZ and Oz, and also the state of the industry there. If you get a NZ licence, you'll have to convert it to JAA if you want to fly in Europe, so the costs do add up. By going to NZ and then returning to Europe to convert your licence might cost as much as modular JAA training. So don't rule out going down the modular JAA route, because if you do want to fly in Europe, then it is probably the most effective way of training.
Good luck,
Captwannabe