Well, not all the brands publish their prices in the website, but taking as example Porsche, who does, we can compare a porsche boxster (basic).
Boxster in Dubai: 196000AED--->41000€
The new Boxster - Boxster Overview - Models - Dr. Ing. h.c. F. Porsche AG
Boxster in Spain:54000€
El nuevo Boxster - Todos los Boxster - Modelos - Dr. Ing. h.c. F. Porsche AG
The price difference in this model is 13000€, that is a lot of money (24% less than the Spanish price)!
Edit: was writing at the same time as you guys. Are there any differences in the manufacturing of a car for the Gulf? I guess things like air filter (due to sand) etc... but, mechanically? Maybe different wheels for 4x4, specially designed for the dessert?
I realized that some cars does not exist in Europe (at least in Spain) like the Toyota Sequoia. In this case you may find problems because this car maybe was not authorized in Spain because of the big size (same as some Hummers). But, talking about same models which already exist in EU...