If you want to have trademarks in the United States and in Europe, then (1) file your trademark application in the U.S. and (2) within 6 months of your U.S. filing file a Madrid Protocol application for International Registration (designating the European Community).
Under the Madrid Protocol (an international system for the registration of trademarks), a U.S. trademark application or registration can be the basis for an international trademark application, thereby allowing for centralized filing and administration of an international trademark portfolio. Most industrialized nations (with the notable exception of Canada – go figure) are members of the Madrid Protocol [PDF]. If you file a Madrid Protocol application within six months of your U.S. filing, then your international application will have the same filing date as your U.S. application (pursuant to Article 4 of the Paris Convention). You can always file international trademarks after the six-month deadline, but you will have lost the advantage of your earlier U.S. filing date by doing so.
The Madrid Protocol is a great choice for companies who want to secure protection for their trademarks in multiple countries without the expense of managing multiple international trademark applications.
If you are making money from foreign customers, or if you expect your company to be acquired by a foreign company, then foreign trademarks probably make sense.