Yeah, most EU countries are interconnected these days (in many cases have been for many years) and power is bought and sold all over the place between generators and distributers etc. (Within the European Union a fully deregulated power market is supposed to operate in theory anyway.. or at least that's the plan!)
Depending on which countries you're talking about the interconnectiors may be at 50Hz or DC. Generally EU countries have very similar frequency tollerances but I would suspect that for much of contenental Europe you're more than likely getting the same 50Hz.
However, perhaps unlike North America, the system would tend to consist of national grids which are interconnected at points rather than one pan European grid. I don't think you could get the cascade effect that happened in the North East of the US / South East of Canada.
Although are there state/regional grids in the US too?
Ireland's one of the few exceptions (being an island), ESB Networks only recently having opened a number of high tension interconnectors to Northern Ireland and until very recently Northern Ireland wasn't connected to the rest of the UK, however a major underwater DC interconnector is now in operation.
There is a proposal to run an interconnector from the Republic of Ireland to the UK, also very high voltage DC but as yet its cost far outweights any benefits it might bring as there is adequate capacity and a lot of new generating capacity from various companies coming online here.
Interconnectors from the UK to other EU countries are only relatively recent too. Again, being an island there are massive cost implications to large underwater interconnectors so the benefits have to be very clear before any company will invest in such a venture.
