As far as I am aware there are only two countries that are trying to harmonise the JAA licences and ratings and therefore accept each others ATPL/CPL or IR passes. They are the UK and Ireland and there is a document on the CAA website explaining how it all works and which bits and pieces can be done where and who will end up issuing the actual licence at the end of it.
Anecdotal evidence suggests that there is little harmonisation going on for any of the other JAA member countries. Some would argue that they are simply protecting their own flight training industries but I would hate to think that sort of thing went on in the EU
If you want to get a UK CPL or IR then you need to check with the CAA as the issuing country if they have approved any overseas schools for whichever part of the training that you wish to undertake. There is a list of approved schools on their website. If you want to get a Spanish licence then you need to check with them. Can you see the trend developing here?
The moral of the story is start with who you want to issue your licence and ask them as they make the rules.