I agree with texan. I went 2 attend 1 H1B seminar last month. If we go to other countries (canada, mexico or any other), and H1B is denied, we can't enter US again. We've to go back to Nepal eventually. The lawyer talked about his client's pain when he was denied H1B visa in Canada, and he couldn't get any direct flight to his country from there. He had to travel half way world across to get back to his country, and apply application process again. So, they strongly recommend to apply H1B visa from own country.