My cousin spent some time in Sweden, I don't remember where, but he said the program was very good, and perhaps better than the American University he attended (not Ivy league, but fairly close). It did cost him some money, but was ultimately worth it for him.
For those of you who bring up India, I have a colleague who came from there; unless you get into the IIT's (Ind Inst of Tech), don't bother.
Personally, unless you find a program of similar or better quality and name, I cannot see why you would want to go. That said, Sweden is a good idea from what I have heard.