I did some research about a year ago and found that in various Western European markets the average of local hosted sites among first SERP ranked sites for prominent poker keywords is a little less than 30%… Granted it was a year ago, but you can certainly say that you can rank high enough without hosting locally.
The way I handle it is whenever I think a site merits a VPS server of its own – I make sure it’s a local-market VPS host. It certainly doesn’t hurt having your sites hosted locally and will most likely improve in benefits either by faster loading time or increase in geo-oriented searches.