You want to play on the server in your region (and/or timezone). First of all because otherwise you have bad latency (certain builds don't work well with 200-300ms latency, and gameplay can be quite annoying). Secondly, Diablo 3 is oriented towards group play - and you don't want to be the only one awake on your server when you've got time to play.
The best server by far are the Asia (Korea/Taiwan) servers. NA and EU are significantly worse when it comes to lag issues, with NA being slightly ahead. However, the difference is so small that it doesn't make sense to switch to a "foreign" region.
The time differential is actually reall important. I am hailing from EU and played in a professional NA team (another game, not d3) for a couple months. It was OK at that time, since I had a lot of free time, but it took the toll on me. When they play for some evening rounds, I had to stay up until like 10pm-3am on every weekday. That just doesn't work out for anyone.