Kraylessa is, I'd guess, an anomaly-- she lives in the United States, but has actually obtained an EU copy of the game and rerolled on EU servers. She says she loves it-- her nationality is a topic of conversation, no one's been xenophobic, and while the lag isn't great, it's just about as bad as it was when she played cross-continent servers (she's living on the East Coast).
I'm not sure how well I'd do playing on an EU realm-- while I'm sure the people are great (hi, EU readers!), it seems like I'd have even less chances to raid (with my schedule being so off), and as ocannie points out in the comments over on Kraylessa's post, customer service would be an interesting experience if anything ever went wrong. It would definitely be interesting to see the cultural differences, however, and it would make it a completely different game to be "the outsider" in Azeroth. Right now, the vast majority of my guildies are American (and quite a few of them are from St. Louis, my hometown), and it would definitely be a different experience to play entirely with people from the other side of the world.
Have any of you played on realms in a different country before? Did it make Azeroth a lot more like actually visiting another place, or weren't there too many differences? Would you recommend it or not? I don't know if I'm curious enough to try it now (since I'm good and situated on a server where I am now), but if I had the chance to start a new game on another region's servers, I might give it a shot.