To echo a bit of Shrimp's story...
I left a quite good air taxi job in Canada at the beginning of 2007 to convert my CAN licence back to JAA. That took me a little over a year including ground school. The conversion was quite enjoyable, a bit tough at times, but having had a lot of recent air taxi time in wintery Canada, I was well on my game in light twins.
I came out of conversion training in spring 2008, and that's where the music rapidly stopped playing...I had an interview for a TP operator, and it was just on the brink of the downturn. In a matter of months, I went from confident optimism to severe worry. The TP operator interview went well, but naturally they put every one in a hold pool.
In the mean time I have renewed ratings, kept current, done some light para work and tried to keep my finger on the pulse. The toughest thing is seeing my compatriots back in Canada - nearly all of whom are now progessing nicely and flying medium jets or large TP's. I think the phrase "kicking myself" would apply well here....
On the flipside, I met the love of my life when I returned to the UK, so that was a good thing and I am now happily married - albeit working in an office job for full time work (for now)
I have really never contemplated paying for a TR - firstly and most importantly b/c I could never finance it. Also, gone are the days of rapidly relocating for any old light a/c flying job on a lowish salary - married life brings a degree of responsibility and commitment.
I just keep crossing my fingers that sooner or later I will get that hold pool call, or something else will come up (without having to pay for a TR or fly a piston twin based 200 miles away from home!)