In the US there are other places like California and Arizona. Arizona is relatively cheap and the weather is fine all year (summer can be warm though).
I don't know wether training in the US makes economic sense or not anymore, but one big advantage as some of the guys pointed out is the weather, so that you can fly for several months in a row, non-stop.
Weather can be atrocious in some parts of Europe for PPL training. If you can only fly weekends and miss the "spring-summer" window to do your flying it may become frustrating.
Here squall also has a very good point.
My advice is do your ppl in Europe, it will ensure that you are 100% certain is is what you want to do before you move across the world. Once you have a easa ppl you can easily (very easily) get it validated in the US so you can hour Build there at a lower cost.
By the way, flying in the US is not just cheaper because of gas, but most airfields do not charge landing fees, there are no ATC fees for IFR flying, renting airport space for training facilities is cheaper, etc...
If it was just because of gas, renting the average light trainer would be maybe... 5-10€ cheaper?