I seem to recall that Pudding Guy picked up a Volvo in Sweden. You may want to email him for details.
I have a friend who did that as well. He was very happy with the deal although he hated driving around Europe in a new car that he'd just bought. He said he felt like a queen bee with everyone else swarming around after him. He was surprised he got the car out of there without even a ding. I suppose where you were taking the car would be a consideration. I wouldn't drive my new car in Italy, for instance.
Another friend just got back from picking up her BMW in Germany. She's still waiting for it to arrive home though.