I would definitely look in Canada. Great universities, very reasonable prices, relatively safe cities, and the exchange rate is currently very favorable (or perhaps favourable) for Americans.
We found the small universities in Canada will cost about the same as our local flagship in-state university in the US. Our local in-state university (and the whole in-state system) is very good, but our flagship in-state university is very large. On the most part we haven’t priced out the larger (and better known) universities in Canada. The smaller universities in Canada are not well known, but there is information available on-line (such as the Maclean’s survey, which of course also covers the larger and better known schools).
One thing to look out for: Relative to the US, the top name universities (McGill, Toronto, UBC) are somewhat easier to get into than any academically comparable university in the US, but in general significantly more demanding. Toronto is probably comparable to MIT in terms of how hard it is to graduate from – probably more difficult even than Harvard or Stanford (I know people who went to pretty much any pair of these universities, as well as Toronto/Princeton, and their comments are quite consistent). Toronto is however much easier than MIT or Harvard or Stanford to get into. A significant number of students go to Toronto or McGill and find that it is academically too difficult.
At the larger Canadian universities (probably including anything that you have heard of) you are going to be treated as an adult. Dorms are optional. Drinking is legal at 18 in Alberta, Manitoba, and Quebec and 19 everywhere else. If you can handle the coursework great. If not there is help available if you look for it. If you can’t handle the course work and don’t go looking for help, or if you get drunk and don’t show up for class, in the larger schools that is your problem, not theirs.
I will admit that not including our in-state system, I am finding the US university system overall to be frankly rather deplorable and unconscionable in multiple ways. Admission seems to be pretty much random and academically-neutral. I see many examples where very hardworking, kind and considerate students who have gotten only A’s and A+'s in every subject always in their life get rejected, while students with as many B’s as A’s get into the same school. The pricing is insane and scholarships somewhat arbitrary. US students are taking on an amount of debt which is unconscionable. US universities advertise very aggressively to teenagers. After taking the PSAT, my daughter got multiple advertisements in the mail every day for more than a year (the ads tailed off a bit until she took the SAT, then resumed). One local relatively strong university sent her an ad in the mail every two weeks for more than a year – she tells me that she actually got more email ads from the same university than physical ads. Students are made to think that they have to get into the very top big-name universities, and to do this it is not enough to have straight A’s, they need mostly A+'s and also the right extra-curricular’s (not just any extra-curriculars, of course). The result is that our kids are under insane amounts of pressure. I have heard multiple reports of kids freaking out because they only got a 97 on an ordinary test. There are a lot of sleep-deprived kids, stressed out kids, stress-related illnesses, and Prozac being consumed in our high schools, probably particularly suburban schools.
As such I think that there are a LOT of reasons to go to university outside of the USA. Price is one reason. Getting a second view of the world is another reason. Applying to universities where you are just going to get in (or not) based on grades is another. If you have the grades you will get in, if you don’t have the grades then you want to go somewhere easier anyway, no stress.
Oh, and I agree with people who have suggested Netherlands and/or Germany. It is probably worth looking in other parts of Europe also (such as Sweden). Obviously language is something to look at carefully in each case, but I am told that some universities have sufficient classes in English. If the timing is right it might be worth checking out the University of Melbourne. Melbourne is one of the nicest cities I have ever visited, and a great university. Of course it is a long way away (as such better probably for graduate school).