It makes sense to host a .co.uk site on a UK server for example, regardless of the SEO effect. It won't cost you more (at least not a lot) and the user experience will be much better simply for the sake of not having to connect to your chep US shared hosting.
But as far as my knowledge goes, I agree with barto up there^, local servers can have a positive effect on your rankings precisely due to the page load times. But don't go expecting number one rankings based on it alone.