It's not a huge saving, but if they're going there they might as well.
Also, there's a lot of talk (and I'm not sure if it's substantiated these days) about European iPods having less volume to fit in with EC regulations regarding earphones shipped with consumer equipment - should not exceed 100db's or something. With a US iPod it won't be affected, even if the volume cap is a reality.
Given my experiences since the 3rd Gen (when the volume cap was definitely a reality) and since the warranty is international, I nearly always buy mine in the US.