There's a big difference between a federal nation with non-independent states, and a league comprised of many independent nation-states. EU =/= US
Ding ding ding.
They aren't really the same thing, for a number of reasons, not least of which is fiscal integration (or lack of it). There are explicit federal-state financial interactions in the US federation, while in the EU there isn't. Thats actually one of the key reasons why Europe has become so munted over the past few years, and its being postured as at least part of the solution to their current ills - although naturally it would involve Germany transferring their spare fiscal capacity to weaker jurisdictions.
Australia is a good example of how a federalist system can operate: imbalances between spending and revenue raising powers between the Feds and the States (called VFI) and a process of equalisation where spare fiscal capacity (read surpluses or strength in revenue) is transferred across States (called HFE). In Australia, though, VFI is too big (states have only 25% of revenue powers but are responsible for almost half of spending) while HFE is too extreme (my state, WA, gets raped under the current methodology - much like Alberta was being made Canada's bitch for a number of years). This is certainly not ideal and something that my organisation has been lobbying hard against for a number of years.
The US has somewhat of a federalist model, but I think the centre has a lot of the power (amirite?). Decentralisation is pretty much always a good thing, but for a nation as large - geographically, geopolitically and economically - as the US the centre still has a role to play on things like diplomacy, security, trade and the like. But no doubt, the US would benefit from a little less centrism.
*in case you can't tell, public economics is a school I'm very interested in.