Once you get a Windows Phone you’ll probably create a Zune account with your Live account (i.e. Microsoft Passport). However, be very careful when you select the country of the marketplace you would like to bind it to, as you won’t be able to change it in the future, even if you physically move to a different supported country and would like to do it to make sure everything is up to date for you and your new location.
A least for now, if you move to a different country you’ll need to create a full new Zune account, which triggers creating a new Live account, because – from what I have seen – the Zune account is linked to the original Live account forever (i.e. there is no way you can remove an existing Zune account from the Live account, nor create multiple Zune accounts on the same Live account).
That means, of course, that besides any Marketplace content you may have downloaded and/or purchased (which could be OK to lose), you would also lose your connection to other, possibly very important items of your previous account, including e-mail, calendars, etc. There may be some workarounds to resolve this if you accept to add and/or link multiple Live accounts, and you can get partial access to your old account this way, but still, I expect that workarounds aren’t available for all applications anyway – for example, I don’t think SkyDrive application supports multiple Live accounts.
This is a big shame, and hopefully this will eventually change, but it’s not a sure fact, as the situation persisted for a very long time already (since a few years ago) – many users complained about this. Microsoft doesn’t seem to care about these people who move with a Windows Phone from one country to another, i.e. supporting them to move from one marketplace to another. Moreover, they won’t allow you to pay for purchasing content in one marketplace with a credit card emitted in the same country.
In my opinion it is imperative that Microsoft starts providing an option to change the country of any Zune account, at least if the user accepts to lose all previously downloaded/purchased Zune content from the initial Marketplace (including applications), but caring about not breaking the link to the original Live account. This should be a safe way for everybody, including Microsoft, who needs to respect legislation of multiple countries. (From this point of view, nothing would have been changed: it would be just like the user created a Zune account in a country he specifies, with the Agreement for that country, even if he or she would use the same original Live account.) Are they just too lazy to develop this feature? Or else, what do I miss here?
Update: 1. Apparently, Windows 8 Store account is not linked to the Zune account so you are free to choose a new country/region when you register there; I have tested myself with Windows 8 RTM. 2. Microsoft seems to accept country/region migration requests for Zune/XBox/Windows Phone accounts now.