Bitcoin exchange, local or foreign? If I live in the USA, and buy/sell bitcoins from a Japanese exchange, are their any advantages/disadvantages for doing this, instead of buying bitcoins from a USA exchange?
There are legal differences. I won't go as far as saying I can tell you if any of them are advantages or disadvantages, because I don't think I can.

If both your exchange company and their banking is in your country, then there is no question if there is any legal obligation on your part to tell your government that you dared move money outside the country. Check your laws; if you're middle class, you'll be surprised how low the trigger amount for such issues that you might think would afflict only the seriously affluent can be.

One thing that is not very different is that no bitcoin exchange I am aware of is fully compliant with all laws fit for all sorts of similar enterprises for every location where they do business, and most probably are not compliant in any or only in hardly any. Some like to advertise their compliance, but I suppose the one case (campbx) where I did get more information on that by inquiring is typical. They wrote me earlier this year that they were then only compliant with the (comparatively easy) Federal FinCEN rules, not the rather tough state money transmitter licensing, although they emphasized their efforts towards progress on that front.

Whilst you may argue that this is mostly because many people don't get how these laws cannot possibly apply to bitcoin businesses, that hasn't stopped authorities in some countries from temporarily seizing a bank account of a bitcoin exchange (one case I know of was in Poland, and one not related to such laws in Germany) or even seizing a bank account for forfeiture (one case I know of in the USA).

So this is not different, but still there is the subtle but important distinction if there is even a chance that your exchange will be allowed to remain in business and at least try to continue honoring its obligations to its customers (as happened with MtGox, even after a possibly minor bank account they had in the US was seized for forfeiture for failing to have state licensing).

I wonder if it would go the same way for an exchange based in the US. Or in comparable countries, for that matter. For a UK company banking in Germany and Poland, the empirical answer is no (bitcoin-24 stopped doing business after its German bank acount was temporarily seized and hence released back to them, and their Polish bank account was simultaneously seized but at least not completely released back to them yet). Again, I wouldn't even try to venture towards judging which is better and for whom.