Generally the arguments for where to fly are:
UK Cons

xpensive, very unreliable/miserable weather.
UK Pros:It is were you intend to fly so learn there, better training! (it depends on where you train!).
US Cons

ifferent procedures, have to acclimatise to UK environment on return home, extra expense of flights over, accomodation etc.
US Pros:Very Pro General Aviation and great place to fly, much cheaper flying environment, bit of a holiday and no distractions for the duration of the training.
What I have done is weight up all the pro's and Con's of each environment for each module to come up with my plan as follows:
1. JAA PPL in US followed by checkout in UK and some hour building in UK. - (Complete).
2. Main hour building in US in C150 for 30pph and IMC rating (so I have less chance of killing myself in the first 100 hrs - (Complete).
3. ATPL exams distance learning (should have done this full time

) and finishing hour building in UK - Nearly complete.
4. JAA CPL/MEP in US. Now comfortable with both US and UK environment so going to where the weather is good. To complete within as little time as possible.
5. FAA IR. Can make full use of Instrument hours so far from IMC rating. Can't credit this directly to JAA IR training.
6. FI(R) in the UK full time. Hopefully get some work out of them.
7. Try and blag "staff rates" for JAA IR conversion course.
8. MCC at some point.
I do think certain parts of the training should be in the UK and acclimatisation is not as easy as you think.
I also think that as we all usually fly US aircraft whilst training a big proportion of this should be done where you just pay less (especially multi) to do it.
My aim is to be as professional a pilot as I can be whilst cutting out any uneccessary costs if possible.