And on top of that, you can be audited by each EU country's tax authority as well... something I have not seen too many people worried about. I think it's an important thing that is being overlooked.
Potential audits will be co-ordinated between EU member states. For example, if an audit of a UK merchant is sought then the relevant EU tax authority (for argument's sake Spain) will have to go through HMRC first. Check out the answer to Q10 here: http://www.taxamo.com/new-eu-vat-rules-q-a/