Well...
Ok, first the pitfalls:
1) if they have US boards in, a lot of electros can/could be classed as illegal under the UK firearms legislation, simply due to the burst/full-auto settings.
2) The local manufacturer's warrenty may not be honored by the UK rep, or the UK rep might not exist,
3) Ask KillerOnion about import duty and Customs getting a bit arsey with a marker coming in. He had to wait ages for his to come through, and he'd had it for ages. He was even made to pay import duty, despite the fact that it wasn't a new marker.
4)You don't always get what you pay for and shipping it back is a pain and expensive.
5) you might only be able to get DOT tanks, which a lot of sites don't let you use.
Now, the benefits:
1) It's cheaper
2) You [sometimes] get more choice of parts.
3) Their customer service (depending on who you shop with) can be/is great.
4) You can sometimes get them to throw in a couple of extras (like stickers). Cheesy I know, but it's nice to get freebies.
That said, it didn't stop me ordering my Bush2k from the US, or a load of parts for my cocker.
Places to look at would be:
http://www.g3pb.com - Terry is one of the best guys I know for custom parts for just about everything. He doesn't sell markers though.
http://www.bbtpaintball.com - lots of markers and a lot of cheap deals if you order off the net.
There are a lot of others out there. Just do a search on the wb and you'll get a lot of hits.
Hope this helps,
Wookie