You should always host in the same country that is your principle market. If that is the US then host in the US. Remember that a .com address contains no geographical information so with Google and MSN they look at the hosting country next.

The worst cases are non US countries using .com addresses and hosting in a different country to their own - a UK-based .com which is hosted in Germany will get virtually no rankings in the UK-only results on Google and MSN (Yahoo has other methods and seems to be able to identify the target market rather better).

I've no direct experience of the reverse situation but I would certainly expect that Google would start to assume you were a UK facing company and you might suffer some drops in the US listings.

By coincidence I just blogged on this topic the other day
Importance of good hosting for search results