Appleinsider.com reports that because the US models of iPhone lack the CE seal that they are illegal to use in coutries recognising CE regulations.
http://www.appleinsider.com/articles/07/11/08/apple_stock_tumbles_us_iphone_illegal_in_europe.html
http://www.appleinsider.com/articles/07/11/08/apple_stock_tumbles_us_iphone_illegal_in_europe.html