Here's one take on the subject in the US, from the Jamestown Foundation's Terrorism Monitor, 2 Aug 07:

Behind the Indoctrination and Training of American Jihadis
On July 26, a former Washington, DC cab driver and resident of Gwynn Oak, Maryland was sentenced to 15 years in federal prison for providing material support to a terrorist group. Ohio-born Mahmud Faruq Brent, 32, admitted to attending training camps run by Lashkar-e-Taiba (LeT, Army of the Pure) in 2002, a Pakistani-based jihadi group established during the 1980s campaign against the Soviets in Afghanistan. After training at various locations in Pakistan, Brent returned to the United States, residing in Baltimore when he was arrested in August 2005. Brent told Tarik Shah—who pleaded guilty to conspiring to provide material support to al-Qaeda—that he had been up in the mountains training with the mujahideen. Through Shah, Brent's training is linked to other cases of Americans who attended LeT-run camps in Pakistan. After Shah's arrest, he agreed to record conversations with Brent in cooperation with the FBI. In Shah's cell phone, along with Mahmud al-Mutazzim, another name Brent used, was the contact information for Seifullah Chapman, who also knew Brent. Chapman, a former Marine, was part of the "Virginia Jihad Group," another informal network convicted of terrorism-related charges stemming from their training in Pakistan. He was sentenced in 2005 to a 65-year prison term.

As disturbing as these cases are individually, collectively they demonstrate an even more troubling trend of radicalized American Muslims—bound by Salafi ideology—receiving training overseas and returning to the United States for potential future operations.....