Privacy laws are by country. There are EU-wide regulations, but each country has its own. Swiss ones are among the most stringent of the planet, that's why many large companies like yahoo host here.
So if your site has sensitive information limited to your country, best is to find a good (not having "cheap" in the title of his page
(or "budget")) with his servers really in your country (often they have servers elsewhere).
But first try to convince your hoster: configuring MySQL will allow his host to have a much smaller load factor, so it'll save him lots of server-money too.