Despite the hassles and rotten latencies, people play across regional server separations for all sorts of reasons. Moving is an obvious nudge to make the change. You'll often hear players wishing they could make the change for a chance to practice another language. More practically, many players use time zone differences to line up a nontraditional schedule with raiding opportunities and bustling server times.
Although I haven't chosen to make the jump to an EU realm, the prospect is something I usually mull over once or twice a year. I miss friends there I used to game with; Facebook just can't hold a candle to adventuring together. Even the game world seems bigger somehow when the player community itself is more diverse. Regional segregation is one aspect of World of Warcraft that I've never quite adjusted to, even after all these years.
If you play WoW in a different world region from where you live, what's taken you across the divide? Have high latencies or other technical difficulties turned out to be a wet blanket on your play? Did changing regions end up meeting your needs?