Where it will make a difference is if the users selects to search just within their own country.
For example, I run a couple of successful .com's that are hosted in the US but which target the UK. I recently moved the .co.uk versions of these off of the US server and put them on a UK-based server.
Previously if someone searched for one of my keyword phrases and specified 'from the UK', my .co.uk's ranked on the second page. Now they are in the top 3 of teh first page - simply by change the server location.
Google is using the IP address of the server to work out which country the server is in and then using that to filter the SERPs. It's certainly the case that it's worth hosting in the countries that you're targetting but this can get expensive.
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