With the regulations as they are now, the most sensible and cost effective option is probably FAA PPL/IR and the majority of the hour building in the U.S. followed by the ATPL exams in Europe. You need to make sure that you do the exams in the country where you want to do the CPL. The FAA IR will allow you to do a shorter CPL course and you can then convert you're IR to a JAA IR which can be endorsed on you're CPL.
The JAA PPL isn't really worth bothering with unless there is going to be a large gap between PPL and CPL. The ATPL training providers in the U.K. tend to have better reputations than the ones in the U.S. but obviously that is quite a general statement and you need to do careful research on the one you decide to go to.
I wouldn't do all the hour building in the U.S. as it will cause you problems when you come to fly in European airspace. There is no problem in flying an aircraft in the U.K. with an FAA licence. I don't know about other parts of Europe.
Last edited by pilotincommand; 28th Jan 2008 at 14:44.