I can tell you really wanna stay near home. Great, but if you are gonna spend money for training spend it for something that will give you most.
JAA is great, but realize JAA also got lot of nonsense system associated with it. I'm an FAA flight instructor and I have people here come to me from Europe all the time cause they are sick of JAA's complexity. A lot of people reliaze that while they persue their private and after private they run to US.
In my opinion probably at the moment US is the best place to traing. Training with FAA is very fair. There is no bullcrap. Everything is strainign forward. Infact you can pretty much traing in a way that fits your need than having to follow some syllabus. From what I hear training here isn US is also the cheapest. JAA got like 14 something written test for some ratings. With FAA there is only 1 written test for each license. The only license that require two test is the Instructor's License.
I did all my training with FAA and my experience was very good. FAA training is very reasonable. I don't know how well other countries accept FAA licenses, but I heard convirting it to ICAO is easy. Convirting anything to JAA is a pain. Pretty much unless you plan to fly in Europe don't ever bother getting JAA.
So go whereever works out best for you, but I'll suggest forget Dubai and come to US for training. You wanna be in dubai when you got like 5,000 turbine time or something. Before than Dubai is no place for pilots. At the same time realize you will be in 100+ degrees of heat. Flying little airplanes in the deasert must suck.
Anyways wish you good luck with everything. I'll be gald to help out any body who have quesitons about training is US cause thats the only one I know best, so feel free to PM me with any question if you need help.