Like Jeremy mentioned, you need a passport to travel abroad. Everything you need to know about passports is here . Almost every city has a US mail location that processes passport applications. It may take a month or so for your first passport, but after that the process to renew is pretty painless.
One additional benefit of working overseas is that the first 80k of your income is generally tax exempt. Double check this on the IRS site regarding US citizens working abroad but that is the number that I recall. One other aspect to look into and it is important is the tax implications of where you are going to work. Quite often you will have to pay tax in the country you are working, and both Canada and UK have very high tax rates. I'm not sure about Costa Rica, but I am guessing the tax rate is reasonable.
You will need a work visa for the respective country that you choose to work in. Normally, If a company hires you they will take care of the visa application for you.
London is a great city, a lot of fun, great bars, theatre, parks, culture, people watching, etc. But London is expensive, if you take a position in London make sure that the compensation package is reasonable, because it will cost you a lot more to live there. Movie in Leicester Square=10 pounds, which is slightly over 18 dollars.
Costa Rica is a great country and relatively inexpensive. You could probably have a much nicer lifestyle if you took a job in Costa Rica. Basically, your money goes a lot further here, nicer house, more money to spend or save, etc.
Canada. Presumably your talking about Vancouver, BC , I'm not aware of other citys with Poker Related offices. Vancouver, BC is the nicest city on the entire Pacific Coast. I can't say enough good things about Vancouver, but like London it is expensive.
If you take a job in Vancouver or London, make sure you get a decent compensation plan, because as I previously mentioned it will cost you a lot more to live in those cities.
Good Luck with the job hunt
Jason