Has anyone ever set up separate campaigns with the same ads and keywords for these countries to test the difference in CTR and conversion ratio?
I tried it out too. Well US has always worked better for me but I guess it also depends on the product one is promoting.
It is a very good practice: you can have different CPC for the different profiles (countries)- it is easy to manage using AdWords Editor. Every month based on your ROI from each profile you set the CPC for the next period for each group - its quite cool.
The U.S. is the biggest market, but it's not the most profitable because EVERYONE tends to focus on it. I'm sorry I can't give away my most profitable markets, (or maybe I can?)