I flew happily in the USA for many years on a US PPL issued on the basis of my CAA PPL, and made sure that every bit of the CAA PPL was valid as well.
Eventually, I succumbed and did the teeny bit of flying and the checkride to get an unrestricted FAA PPL. I also did the IR to go with it. I feel a lot happier having an unrestricted FAA PPL/IR, since nothing CAA or JAA gets to me any more.
For those who have reasonable numbers of hours, I'd recommend doing the FAA PPL checkride. If you have LOTS of hours and the time to do a long cross-country (SOLO) and some minor performance manoeuvres, do the FAA CPL. Neither is particularly difficult.