I talked with two guys from Germany and Australia, and both said incorporating in their respective countries was difficult. I'd research either Chile or Israel and see what their policies are.
For the entrepreneur visa, it looks like you must have 200,000 pounds in the bank, so for me that definitely takes the option off the table: http://www.visabureau.com/uk/entrepreneur-visa.aspx Feel free to let me know if you find other ways to do a startup in the UK or Europe. Good luck!