I read an excellent book a few years back about retiring overseas (forgot the name right now, sorry) and it's a very interesting concept. There are some surprising places that are very cost effective to be an 'ex-pat' in. This changes with laws over the years, but (from what I recall of the book) in the mid-2000s some good places were: Panama, Belize, Malaysia, Thailand and most surprisingly ... Paris (high rent but excellent social net). The idea is to take all quality of life factors into account including health-care, children impacts, infrastructure, language etc. when picking a place, beyond just the cost of living there.
Being a Canadian it may differ slightly, but I think you need to read up on the concept of "residency" vs. "citizenship". For example, if I leave Canada for a 'long time' ... I think it's failing to live in Canada for 2 years of every 5 year period, I lose my residency. That means I'm no longer eligible for CPP/OAS (public pension plans) or for public health care (we can get foreign health costs refunded for short-term trips) which are pretty serious funding shortfalls for me to plan for when retiring. Thus, I'd need to save even more to be able to retire. Losing your citizenship is something much more difficult to do and is generally done only by voluntarily 'revoking' it.
The thing is though, citizenship also requires you to file (and possibly pay) taxes to your home country, something most people would like to avoid :) So there's some information out there about tricks people have done with retiring to live on a boat, for example, and not be a citizen of any country (and thus pay no income tax). There's definitely some really clever things people have done in the past, but they often involve 'loopholes', have consequences (no citizenship means no consulate protection anywhere) and get very complex fast.
At any rate, I don't see why any of this would affect how you choose to save for retirement. You're talking about what to do when you retire which is years off before you've even built the car that you will drive off into the sunset with.