Additionally, if you have a Bachelor/Master degree in STEM, you can easily get a Blue Card if you receive a contract paying over 50,800 EUR/year. [1] Lower salaries would still enable you to obtain a regular work visa (which is specific to the job title and company).
I've heard Germany is a difficult country to establish a company (GmbH). I can't speak as an entrepreneur, but as an employee it isn't difficult at all to get a work visa from the government. I'd say the only difficulty is that you need to have every document prepared, with a spare copy, and make sure you've provided all the necessary information. German bureaucrats are especially irritable when things are missing/incomplete.
Germany is desperate for skilled workers. You don't even need to speak German to get a job in a big city like Berlin or Frankfurt.
As someone from North America, I'd highly recommend you consider Germany if you'd like to work for a start-up. Berlin is the start-up capital of Europe, and there are so many companies looking for talent you can quickly climb the corporate ladder/salary by moving companies every 12-18 months. You won't be paid as much as in Silicon Valley, but rents are sane and I'd say the quality of life is higher than in the US.
[0] http://www.make-it-in-germany.com/en/for-qualified-professio...
[1] http://www.bamf.de/EN/Infothek/FragenAntworten/BlaueKarteEU/...
Getting a self-employed VISA is not easy unless you have some serious credentials. My partner has three degrees, two post-graduate, from highly regarded US universities; an extensive profile of speaking engagements; a very, very solid financial standing; and a solid business plan. The IHK (who reviews all business plans for self-employed applications) still said "No" but begrudgingly gave the green-light when presented with a book contract from a well known technical publisher.
I have no degrees, but a financially viable consulting business of some years, and a lengthy professional background. Three years later, over 12 foreigners office appointments, a UG (affectionately known as the mini-GmbH) with over 12K founding capital, a high-priced lawyer, over a 120K in USDEUR transfers, and a visit from the police to confiscate my passport over Christmas, my self-employment visa is no further along than the day I first submitted it.
Still, incomparably better than US immigrations. I'm certainly stuck in some weird, exceptional state that has confused even my lawyer.
Consider Berlin. It is wonderful here, definitely. Rents are rising, however, and (sadly, in my opinion) you do not need to learn German. I know of far too many people who have spent numerous years here without speaking more than a phrase or two of deutsche.
If you want to start a company/be self-employed DO NOT follow the (typische amerikanische) DIY process. Factor in costs for tax advisers and lawyers.
If you want to self-employ and like the Netherlands: https://en.wikipedia.org/wiki/DAFT
If you recently graduated or are still in school: Irish working holiday
I'm sure there are others, but those are what come to mind if you're an American who wants to live/work and Europe and you don't have a sponsor and aren't funded (if you have capital, you have far more options, of course).
"..The Blue Card is an approved EU-wide work permit (Council Directive 2009/50/EC)[1] allowing high-skilled non-EU citizens to work and live in any country within the European Union, excluding Denmark, Ireland and the United Kingdom.."
Though that is subject to change depending on the political climate.
My guess is other have too. Lisbon is supposedly becoming a hot tech hub. Regardless, it's a wonderful city.
Uruguay for some reason is home to one of the more active development communities. But as far as visas I think you need one of those retirement visas or something.
Panama might be the easiest to get into, register companies etc. althought that technically is Central America. All in all, even in places like Venezuela with its crazy economy but that happens to be extremely favorable for service export, you will find good opportunities for startups due to extreme low cost of living, good university networks and general lack of competition and innovation. Internet speed leave a lot to be desired but it is workable. Electricity prices in some of this countries is way cheaper so that lends itself well to datacenters. Of course, those savings will need to cover stuff like private security, which is kind of a necessity.