Which iPhone should I buy if living in both the US and Europe (Spain)

You can buy from either country as long as it is a SIM unlocked phone That way you will be able to swap SIMs. Ask at the Apple store. While one phone from either country will work in the other, there are some caveats:

1). You will only be able to get 3G data speeds and 4G/LTE will work either in one country or the other (but not both) with the same phone as the 4G/LTE frequencies vary between the two countries, and the phones in each of countries are made specifically for the 4G/LTE networks available in the country where the phones are sold.

2). The warranty is not international and will only be valid in the country where the phone was purchased. If you run into problems in the US and the phone was purchased in Spain you will have to bring the phone back for both in and out of warranty service to Spain (or any EU country as the EU is treated as one country for warranty purposes).

Be careful when purchasing used iPhones, especially online. Make sure that:

1). It is SIM unlocked. Otherwise you will not be able to to use a Spanish SIM. If locked, the phone must be unlocked by the carrier. Apple does not unlock phones.

2). The activation lock is disabled. If not the phone is useless.

iCloud: Find My iPhone Activation Lock in iOS 7

bbaigo wrote:

So, to confirm, by purchasing it in the US it will be 4G/LTE capable here, but only 3G in Europe?

Correct.