I realise this is an old post, but thought I'd post my experience in case it is helpful to anyone else. I don't have a PhD, but am in my final year of a 3-year MFA degree in the USA. Based on my experiences here, I would definitely recommend studying abroad.

FUNDING: A major reason to come here was the availability of funding/relative scarcity of funding in the UK. I was awarded a teaching assistantship and several scholarships by my university here, as well as outside scholarships by charitable bodies in the UK and the US. I was also able to add to this by winning prizes and conference funds. After I was offered a place here I deferred for a year which, although frustrating, put me in a better position to apply for outside funding, since I could put a guaranteed place down on my applications.

VISAS were a major source of stress, though in the end there was no problem (I suppose this is not an issue within the EU). I particularly hated having to ask my parents for their bank statements in case the visa officer asked to see evidence of more funds than I had attracted in scholarships. Be aware that the visa officer can potentially deny you a visa, even if you have a confirmed offer from a bona fide university.

LANGUAGE has not of course been so much of an issue here, though I was initially rather paranoid about cultural differences, and even minor differences like punctuation styles. Based on my brief experience working in France, I would be prepared to find the experience of speaking a foreign language very mentally tiring and potentially isolating.

OTHER CROSS-CULTURAL DIFFERENCES: I'm quite aware that I am in a small way an ambassador for my country, so I suppose this has been an extra spur for me to do well here. I'm now contemplating a return to the UK, so I am hoping that my time abroad will add something interesting to my CV.