Should I buy my iPhone in the U.S. or Brussels?

I'd buy it in Belgium. The iPhone is sold SIM lock free in Belgium, but if you buy it in the States you won't be able to use it in Belgium without voiding the warranty (by breaking the SIM lock). The one bought in Belgium can be used with any SIM card so when you go back to the States you can just keep using it there with any provider.

As provided the iphone sold in the U.S. is carrier locked to AT&T and cannot be activated with ay other network. In addition the iphones warranty is only good in the country in which it was purchased.

The US iPhone is carrier locked to the US and you won't be able to use a Belgian SIM in it when you move.