They will work on your PS3, PS Vita i have no experience with. I even called the PlayStation customer service in the US to ask if it's not illegal or something like that! Happily it wasn't. They said they can't guarantee the software working though, but i never had a problem with my purchases (Resident Evil 2, Resident Evil 3, The Last Guy and Flower)
I'm in the Netherlands and usually buy from the EU store. You need US PSN credit by the way, unless you have a creditcard.