There's been alot of discussion on this in the recent past. Most useful, perhaps:

Battle.net Accounts and you: How I merged 7 wow accounts to 1 login.

Nice to know they've opening it up in Europe though - I hadn't realised.

edit:
There's no way I'm going to do this until they eventually FORCE me to though! My life is spread across two countries and three houses, so just getting all the damn game keys in one place will take some planning!!