You start talking about an EU location and then mention dollars rather than Euros. A lot will depend on where you are and where you are trading, you need professional advice.

As far as trading from a tax haven is concerned a couple of million is petty cash.

I also heard that there are moves to clamp down on some of the European tax havens. Ireland was seen as a sector particularly attractive to large bushinesses. I certainly wouldn't be making any decisions from that point of view.
Irish budget set to phase out multinationals' favourable tax arrangement [uk.reuters.com]

As far as trading from a tax haven is concerned a couple of million is petty cash.

You're right. And that's a very good point. It's only one factor anyway. "The Caymans have no corporate income tax for companies incorporated there. The Caribbean island has helped scores of U.S. companies, including Coca-Cola Co. and Oracle Corp., to legally avoid billions in tax payments to the U.S. government, says U.S. Senator Byron Dorgan."

What other factors should we consider?

We are planning to have multiple distribution channels and expand our business outside of middle east and establish multiple factories in US and Europe however, want to register the administrative headquarters somewhere that works to our advantage.

I am doing some research online but would love to use your personal experience and expertise and hear your suggestions.

Inquiring minds want to know: If you're in the "couple of million" range, why don't you ask your lawyer? That's what you keep them on retainer for.

Other factors that I can think of other than Tax is:
Market, Raw material and supply, Manufacturing Cost, Compliance with various laws and regulations per country/state, Competitors

why don't you ask your lawyer?

Our business is in the Middle East and our lawyer/accountant/consultant works on domestic matters.

For the first time we are trying to expand our business outside the country and we just established a "Foreign Direct Investment" FDI group and just started doing research on where to invest.

Note: This post is about my full time business working as an employee (a big consumer goods company producing cleaning agents, personal care, foods & beverages). All my other posts were about my personal web business. Just a friendly note and FYI. :)

If the main concern is taxes, take note that this year has seen a trend change/pressure by many countries to end the "tax haven" loopholes in each of their countries. Might take a look at your country first before shopping around. Some countries, like the USA, are enacting, or planning to enact, laws that will allow taxation of off-shore assets. Might happen to you as well.

We can't really give legal advice on this forum. Consult an attorney qualified for these matters.