Warranty issues - Canon lenses have an international warranty. Canon bodies don't. Nikon lenses and bodies don't (I believe). Sigma lenses do, but only if you pay import duty and VAT when you bring them into the UK, which may nullify any cost savings.
Compatibility issues - If you buy a body in the US it will come with a US battery charger. If it's a low-end Canon DSLR it will have a stupid name (eg Rebel XSi instead of 450D) which might affect the resale value and/or your credibility.
Other issues - If you try to bring it in through the green channel and you get stopped, it might not be an entirely pleasurable experience. If you go through the red channel and pay duty and VAT, it probably will not work out cheaper than buying from a competitive UK supplier.