My opinion - I'm sure some will argue with me:
US brokers under the NFA are tightly regulated. It's so tight that many traders don't appreciate the restrictions.
The UK provides a reasonable amount of protection under the FCA/FOS - but ONLY if the broker is directly registered with the FCA. Many brokers will get much lower levels of regulation in other European countries and be listed as "passported" by the FCA. This provides ZERO protection from the FCA and FOS. You need to look up the registration on the FCA website to be sure.
Swiss regulation seems to work pretty well.
ASIC in Australia - does provide some protection, but I've seen growing complaints. I'm not sure how many of those people complaining actually tried formal complaints with ASIC and the Australian FOS.
Cysec from Cyprus - Has a very bad reputation for never taking action, but has been slowly shifting towards fining and cancelling licenses of bad brokers.
New Zealand - Sounds good, but isn't. All the company has to do is deregister and it can disappear with all the money. I have heard they will pursue cases like this - but only for NZ citizens who lost money.
Assorted islands and places like Panama - If huge amounts of complaints come in, they occasionally kick a broker out. That's about all they do.
Non-governmental regulators - these are often created by brokers themselves. Some have only one broker member. Others have only a handful. In general, these are very ineffective.
Remember this - no matter how pathetic the record or reputation of a regulator is, if you are scammed and don't personally file a complaint and follow through on it, you've got no right to whine about how the regulator isn't protecting you. Instead, you are helping the scamming broker keep its license, which it will use to lure in more victims. Even the best regulators are very slow. Still, the more information that victims can give the regulator, the more likely some action will be taken.