I guess it depends where you want to work at the end of your training. If you wish to gain a job within a JAA state you maybe better getting a JAA/CPL. If an FAA licence is classed as an ICAO licence (I have asked that on a previous thread as I am not too sure), then I have seen job adverts for holders of ICAO licences. I am sure some members with a lot more experience than myself will be able to advise further.